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FEBRUARY 28, 2023 |
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2023 Annual Report
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iShares Trust
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iShares High Yield Bond Factor ETF | HYDB | Cboe BZX |
| · |
iShares Investment Grade Bond Factor ETF | IGEB | Cboe BZX |
| · |
iShares USD Bond Factor ETF | USBF | NASDAQ |
Dear Shareholder,
Significant economic headwinds emerged during the 12-month reporting period ended February 28, 2023, as investors navigated changing economic conditions and volatile markets. The U.S. economy shrank in the first half of 2022 before returning to modest growth in the second half of the year, marking a shift to a more challenging post-reopening economic environment. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high before beginning to moderate. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.
Equity prices fell as interest rates rose, particularly during the first half of the reporting period. Both large-and small-capitalization U.S. stocks fell, although equities began to recover in the second half of the period as inflation eased and economic growth resumed. Emerging market stocks and international equities from developed markets declined overall, pressured by rising interest rates and a strong U.S. dollar.
The 10-year U.S. Treasury yield rose notably during the reporting period, driving its price down, as investors reacted to fluctuating inflation data and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and higher interest rates led to rising borrowing costs for corporate issuers.
The U.S. Federal Reserve (the “Fed”), acknowledging that inflation has been more persistent than expected, raised interest rates eight times. Furthermore, the Fed wound down its bond-buying programs and accelerated the reduction of its balance sheet.
Restricted labor supply kept inflation elevated even as other inflation drivers, such as goods prices and energy costs, moderated. While economic growth slowed in the last year, we believe that taming inflation requires a more substantial decline that lowers demand to a level more in line with the economy’s productive capacity. Although the Fed has decelerated the pace of interest rate hikes, it still seems determined to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near-term is high, but the dimming economic outlook has not yet been fully reflected in current market prices. We believe investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions. Turmoil in the banking sector shortly following the end of the period highlighted the potential for the knock-on effects of substantially higher interest rates to disrupt markets with little warning.
While we favor an overweight to equities in the long term, several factors lead us to take an underweight stance on equities overall in the near term. Expectations for corporate earnings remain elevated, which seems inconsistent with the possibility of a recession in a business environment characterized by higher costs and reduced pricing power. Nevertheless, we are overweight on emerging market stocks as a weaker U.S. dollar provides a supportive backdrop. We also see long-term opportunities in credit, where valuations are appealing and higher yields provide attractive income, although we are neutral on credit in the near term, as we believe that troubles in the banking sector will likely lead to reduced lending. However, we believe there are still some strong opportunities for a six- to twelve-month horizon, particularly short-term U.S. Treasuries, global inflation-linked bonds, and emerging market bonds denominated in local currency.
Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit iShares.com for further insight about investing in today’s markets.
Rob Kapito
President, BlackRock, Inc.
Rob Kapito
President, BlackRock, Inc.
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Total Returns as of February 28, 2023
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6-Month
|
12-Month
|
|||||||
|
U.S. large cap equities |
1.26 | % | (7.69 | )% | ||||
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U.S. small cap equities |
3.63 | (6.02 | ) | |||||
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International equities Far East Index) |
12.58 | (3.14 | ) | |||||
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Emerging market equities |
(2.29 | ) | (15.28 | ) | ||||
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3-month Treasury bills U.S. Treasury Bill Index) |
1.74 | 2.11 | ||||||
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U.S. Treasury securities U.S. Treasury Index) |
(4.81 | ) | (14.06 | ) | ||||
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U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) |
(2.13 | ) | (9.72 | ) | ||||
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Tax-exempt municipal bonds |
0.66 | (5.10 | ) | |||||
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U.S. high yield bonds High Yield 2% Issuer Capped |
2.52 | (5.45 | ) | |||||
| Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |
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Financial Statements |
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iShares Trust
U.S. Corporate Bond Market Overview
Investment-grade and high yield corporate bonds lost ground during the 12-month period that ended February 28, 2023. The Markit iBoxx USD Liquid Investment Grade and High Yield Indexes, broad measures of U.S. dollar-denominated investment-grade and high-yield corporate bond performance, returned -12.11% and -5.36%, respectively. High yield bonds outpaced the domestic investment-grade market, as gauged by the -9.72% return of the Bloomberg U.S. Aggregate Bond Index.
The poor return for the fixed-income market reflected the backdrop of elevated inflation and rising short-term interest rates. Consumer price inflation—which began to rise in late 2021—took another leg higher following Russia’s invasion of Ukraine in early 2022, with year-over-year increases of over 8% in each month from March to September. While inflation showed signs of cooling in late 2022, it nonetheless remained in a range of 6.0% to 7.1% over the final four months of the period – well above the U.S. Federal Reserve’s (Fed’s) stated target of 2%.
The Fed responded to rising inflation by winding down its stimulative quantitative easing program and beginning to raise interest rates aggressively. The Fed boosted short-term rates eight times over the course of the 12-month period, moving the benchmark fed funds rate from a range of 0.0% - 0.25% to 4.5% - 475%. This represented the fastest increase in such a short span of time in decades. In addition, the Fed’s communications repeatedly stated the central bank’s intent to remain steadfast in its commitment to fighting inflation. This approach quashed periodic hopes for a pivot toward a less restrictive policy, and it prompted investors to ratchet up their expectations for the likely “terminal rate;” in other words, the level at which the Fed could stop raising rates.
These circumstances created significant headwinds for the fixed-income market. The yield on the two-year U.S. Treasury note rose from 1.43% to 4.82% (as its price fell) over the course of the year, while the 10-year yield climbed from 1.83% to 3.92%. Rising Treasury yields, in turn, translated to poor performance across virtually all segments of the market.
Investment-grade corporate bonds underperformed Treasuries, with lower-quality and longer-dated securities experiencing the weakest returns. Investors’ reduced appetite for risk contributed to an increase in yield spreads versus government issues over the first eight months of the period, as did concerns that the combination of rising inflation and slowing economic growth would crimp both profit margins and earnings. Corporates experienced improving relative performance from November onward, however, offsetting most of the category’s previous underperformance.
High yield bonds, while posting losses for the year, nonetheless held up well relative to investment-grade corporates. The category was helped by both a higher contribution from income, as well as its lower degree of interest-rate sensitivity. In addition, high yield has a larger allocation to the energy sector – a positive at a time of sharply rising oil prices. The capital goods and transportation sectors also delivered positive relative performance, boosting returns for the asset class as a whole.
| 4 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Fund Summary as of February 28, 2023 | iShares® High Yield Bond Factor ETF |
Investment Objective
The iShares High Yield Bond Factor ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. dollar-denominated, high yield corporate bonds, as represented by the BlackRock High Yield Defensive Bond Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.
Performance
| Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||||||||||
| 1 Year | 5 Years | |
Since Inception |
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1 Year | 5 Years | |
Since Inception |
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Fund NAV |
(4.73 | )% | 3.30 | % | 3.52 | % | (4.73 | )% | 17.62 | % | 21.57 | % | ||||||||||||||||
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Fund Market |
(5.09 | ) | 3.25 | 3.51 | (5.09 | ) | 17.36 | 21.49 | ||||||||||||||||||||
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Index |
(4.15 | ) | 3.65 | 3.82 | (4.15 | ) | 19.62 | 23.53 | ||||||||||||||||||||
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Bloomberg U.S. Corporate High Yield Index |
(5.46 | ) | 2.87 | 2.96 | (5.46 | ) | 15.17 | 17.89 | ||||||||||||||||||||
GROWTH OF $10,000 INVESTMENT
(SINCE INCEPTION AT NET ASSETVALUE)
The inception date of the Fund was July 11, 2017. The first day of secondary market trading was July 13, 2017.
The Bloomberg U.S. Corporate High Yield Index is an unmanaged index that measures the USD-denominated, high yield, fixed-rate corporate bond market.
Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.
Expense Example
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Actual |
Hypothetical 5% Return |
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Beginning Account Value (09/01/22) |
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Ending Account Value (02/28/23) |
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Expenses Paid During the Period |
(a) |
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Beginning Account Value (09/01/22) |
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Ending Account Value (02/28/23) |
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Expenses Paid During the Period |
(a) |
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Annualized Expense Ratio |
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| $ | 1,000.00 | $ | 1,020.20 | $ | 1.75 | $ | 1,000.00 | $ | 1,023.10 | $ | 1.76 | 0.35 | % | |||||||||||||||||
| (a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. |
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F U N D S U M M A R Y |
5 |
| Fund Summary as of February 28, 2023 (continued) | iShares® High Yield Bond Factor ETF |
Portfolio Management Commentary
The market environment over the 12 months was characterized by rising short-term interest rates, as the U.S. Federal Reserve (“Fed”) responded to rising inflation by raising interest rates and winding down its quantitative easing program. Although inflation showed some signs of cooling, it remained at elevated levels that were well above the Fed’s stated target of 2%.
This backdrop was a headwind for the fixed-income market. Longer-term interest rates rose significantly over the second half of the period, and market volatility associated with macroeconomic developments was high. Although credit spreads experienced some volatility over the first part of the reporting period, they stabilized and tightened over the last four months to end the period below historical averages. The Fund outperformed the Bloomberg US High Yield Index (“the Bloomberg Index”) due to the shorter duration and lower interest rate sensitivity of its holdings.
Relative to the Bloomberg Index, the Fund had a modest underweight to securities rated CCC, which detracted slightly from performance. The Fund’s slight underweight to securities rated B contributed positively to performance. The Fund’s selection within BB rated securities contributed the most to relative performance. Within the consumer non-cyclical sector, underweights in pharmaceutical and healthcare securities contributed meaningfully to performance. A slight overweight to financial institutions detracted from performance.
As a result of the Fund’s screening process based on probability of default and relative value, the Fund ended the period with an underweight to CCC rated bonds and an overweight to B rated bonds. For the majority of the reporting period, the Fund had a “yield to worst” (i.e., yield based on the earliest call date of bonds held) similar to the Bloomberg Index and an effective duration consistently lower than that of the Bloomberg Index.
The most notable changes in the Fund over the period included an increase in exposure to BB rated bonds and reduction in exposure to B rated bonds. In addition, the Fund slightly increased holdings in the consumer non-cyclical, finance company and REIT sectors, while reducing holdings of communications companies. All of these changes were driven by the Fund’s probability of default model, which first screens out issuers with higher probability of default and then tilts towards securities which offer higher default-adjusted spreads.
Portfolio Information
CREDIT QUALITY ALLOCATION
|
Moody’s Credit Rating* |
|
Percent of Total Investments |
(a) | |
|
Baa |
1.6 | % | ||
|
Ba |
42.3 | |||
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B |
43.3 | |||
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Caa |
7.0 | |||
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Ca |
0.5 | |||
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Not Rated |
5.3 | |||
MATURITY ALLOCATION
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Maturity |
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Percent
of Total Investments |
(a) | |
|
1-5 Years |
57.3 | % | ||
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5-10 Years |
37.5 | |||
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10-15 Years |
3.3 | |||
|
15-20 Years |
0.3 | |||
|
More than 20 Years |
1.6 | |||
| * |
Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (a) |
Excludes money market funds. |
| 6 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Fund Summary as of February 28, 2023 | iShares® Investment Grade Bond Factor ETF |
Investment Objective
The iShares Investment Grade Bond Factor ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. dollar denominated investment-grade corporate bonds, as represented by the BlackRock Investment Grade Enhanced Bond Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.
Performance
| Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||||||||||
| 1 Year | 5 Years | |
Since Inception |
|
1 Year | 5 Years | |
Since Inception |
| |||||||||||||||||||
|
Fund NAV |
(9.35 | )% | 1.82 | % | 1.57 | % | (9.35 | )% | 9.45 | % | 9.20 | % | ||||||||||||||||
|
Fund Market |
(9.46 | ) | 1.82 | 1.59 | (9.46 | ) | 9.41 | 9.29 | ||||||||||||||||||||
|
Index |
(9.12 | ) | 2.00 | 1.73 | (9.12 | ) | 10.38 | 10.16 | ||||||||||||||||||||
|
Bloomberg U.S. Corporate Index |
(10.43 | ) | 1.12 | 1.00 | (10.43 | ) | 5.71 | 5.75 | ||||||||||||||||||||
GROWTH OF $10,000 INVESTMENT
(SINCE INCEPTION AT NET ASSETVALUE)
The inception date of the Fund was July 11, 2017. The first day of secondary market trading was July 13, 2017.
The Bloomberg U.S. Corporate Index is an unmanaged index that measures the USD-denominated, investment grade, fixed-rate, taxable corporate bond market.
Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.
Expense Example
| Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
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Beginning Account Value (09/01/22) |
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Ending Account Value (02/28/23) |
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Expenses Paid During the Period |
(a) |
|
Beginning Account Value (09/01/22) |
|
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Ending Account Value (02/28/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Annualized Expense Ratio |
| ||||||||||
| $ 1,000.00 | $ | 997.50 | $ | 0.89 | $ 1,000.00 | $ | 1,023.90 | $ | 0.90 | 0.18 | % | |||||||||||||||||||
| (a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. |
|
F U N D S U M M A R Y |
7 |
| Fund Summary as of February 28, 2023 (continued) | iShares® Investment Grade Bond Factor ETF |
Portfolio Management Commentary
The market environment over the 12 months was characterized by rising short-term interest rates, as the U.S. Federal Reserve (“Fed”) responded to rising inflation by raising interest rates and winding down its quantitative easing program. Although inflation showed some signs of cooling, it remained at elevated levels that were well above the Fed’s stated target of 2%.
This backdrop was a headwind for the fixed-income market. Longer-term interest rates rose significantly over the second half of the period, and market volatility associated with macroeconomic developments was high. This environment affected the Fund’s performance in a similar way to that of the broader market, with the effect of falling prices outweighing the contribution from income. However, the Fund outperformed the Bloomberg US Corporate Bond Index (“the Bloomberg Index”) due to the shorter duration and lower interest rate sensitivity of its holdings.
Relative to the Bloomberg Index, the Fund had a significant overweight to securities rated BBB, which detracted from performance. However, that was more than offset by positioning elsewhere, specifically the Fund’s significant underweight to A rated securities and underweight to AA securities. Relative to the Bloomberg Index, the Fund held its largest underweight in the banking sector, which contributed positively to performance. The Fund had overweights to the consumer non-cyclical and technology sectors that mildly detracted from performance relative to the Bloomberg Index.
Over the reporting period, the Fund increased its holdings of bonds within the banking sector based on its probability of default risk model and the relative value of these securities based on default-adjusted spread risk metrics. The model first screens out issuers with higher probability of default, and then tilts towards securities which offer higher default-adjusted spreads.
Portfolio Information
CREDIT QUALITY ALLOCATION
|
Moody’s Credit Rating* |
|
Percent
of Total Investments |
(a) | |
|
Aaa |
0.6 | % | ||
|
Aa |
2.2 | |||
|
A |
17.2 | |||
|
Baa |
73.8 | |||
|
Ba |
6.0 | |||
|
Not Rated |
0.2 | |||
MATURITY ALLOCATION
|
Maturity |
|
Percent
of Total Investments |
(a) | |
|
1-5 Years |
18.5 | % | ||
|
5-10 Years |
53.0 | |||
|
10-15 Years |
6.0 | |||
|
15-20 Years |
6.7 | |||
|
More than 20 Years |
15.8 | |||
| * |
Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (a) |
Excludes money market funds. |
| 8 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Fund Summary as of February 28, 2023 | iShares® USD Bond Factor ETF |
Investment Objective
The iShares USD Bond Factor ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. dollar-denominated bonds that are rated either investment grade or high-yield, as represented by the BlackRock USD Bond Factor Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.
Performance
| Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||
| 1 Year | |
Since Inception |
|
1 Year | |
Since Inception |
| |||||||||||||
|
Fund NAV |
(10.34 | )% | (9.89 | )% | (10.34 | )% | (13.42 | )% | ||||||||||||
|
Fund Market |
(10.33 | ) | (9.83 | ) | (10.33 | ) | (13.34 | ) | ||||||||||||
|
Index |
(10.11 | ) | (9.73 | ) | (10.11 | ) | (13.22 | ) | ||||||||||||
GROWTH OF $10,000 INVESTMENT
(SINCE INCEPTION AT NET ASSETVALUE)
The inception date of the Fund was October 12, 2021. The first day of secondary market trading was October 14, 2021.
Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.
Expense Example
| Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
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Beginning Account Value (09/01/22) |
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Ending Account Value (02/28/23) |
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Expenses Paid During the Period |
(a) |
|
Beginning Account Value (09/01/22) |
|
|
Ending Account Value (02/28/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Annualized Expense Ratio |
| ||||||||||
| $ 1,000.00 | $ | 982.10 | $ | 0.79 | $ 1,000.00 | $ | 1,024.00 | $ | 0.80 | 0.16 | % | |||||||||||||||||||
| (a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. |
|
F U N D S U M M A R Y |
9 |
| Fund Summary as of February 28, 2023 (continued) | iShares® USD Bond Factor ETF |
Portfolio Management Commentary
The U.S. Federal Reserve (Fed) responded to high inflation by hiking rates and winding down its quantitative easing program, weighing heavily on bond market performance over the past 12 months. Inflation, while showing some signs of cooling late in the period, remained at elevated levels that were well above the Fed’s stated target of 2%.
This backdrop was a headwind for the fixed-income market. Longer-term interest rates rose significantly over the second half of the period, and market volatility associated with macroeconomic developments was high. This environment affected the Fund’s performance in a similar way as it did the Aggregate Index, with the effect of falling prices outweighing the contribution from income. However, the Fund fared worse than the Index due to its longer duration (higher interest rate sensitivity).
The Fund had a significant overweight in BBB rated securities relative to the Aggregate Index, which detracted meaningfully from performance. A sizable underweight in AAA rated issues also detracted somewhat. On the other hand, a slight overweight in A rated bonds contributed positively.
Underweights in agency mortgage-backed securities and slight overweights in the consumer non-cyclical, communications, technology and capital goods industries detracted from results. An underweight in government-related securities contributed, as did an overweight in the banking industry.
There were no changes to the Fund’s optimization constraints or alpha model over the reporting period. All the allocation changes were driven by the macro and style factor model that informs the Fund’s benchmark index methodology. The model adjusted according to its parameters, based on macro factor positioning, factor tilting, and security selection using quality and value attributes. These changes led the Fund to increase its allocation to A rated securities and reduce its holdings in BBB rated securities. At the sector level, it decreased its positions in the industrial sector, including the communications, consumer non-cyclical and capital goods industries, while increasing its position in the banking industry.
Portfolio Information
CREDIT QUALITY ALLOCATION
|
Moody’s Credit Rating* |
|
Percent
of Total Investments |
(a) | |
|
Aaa |
30.4 | % | ||
|
Aa |
8.0 | |||
|
A |
24.7 | |||
|
Baa |
28.9 | |||
|
Ba |
2.6 | |||
|
B |
1.2 | |||
|
Caa |
0.2 | |||
|
Not Rated |
4.0 | |||
MATURITY ALLOCATION
|
Maturity |
|
Percent
of Total Investments |
(a) | |
|
1-5 Years |
30.5 | % | ||
|
5-10 Years |
24.5 | |||
|
10-15 Years |
2.5 | |||
|
15-20 Years |
9.0 | |||
|
More than 20 Years |
33.5 | |||
| * |
Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (a) |
Excludes money market funds. |
| 10 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of each Fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end is available at iShares.com. Performance results assume reinvestment of all dividends and capital gain distributions and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. The investment return and principal value of shares will vary with changes in market conditions. Shares may be worth more or less than their original cost when they are redeemed or sold in the market. Performance for certain funds may reflect a waiver of a portion of investment advisory fees. Without such a waiver, performance would have been lower.
Net asset value or “NAV” is the value of one share of a fund as calculated in accordance with the standard formula for valuing mutual fund shares. Beginning August 10, 2020, the price used to calculate market return (“Market Price”) is the closing price. Prior to August 10, 2020, Market Price was determined using the midpoint between the highest bid and the lowest ask on the primary stock exchange on which shares of a fund are listed for trading, as of the time that such fund’s NAV is calculated. Since shares of a fund may not trade in the secondary market until after the fund’s inception, for the period from inception to the first day of secondary market trading in shares of the fund, the NAV of the fund is used as a proxy for the Market Price to calculate market returns. Market and NAV returns assume that dividends and capital gain distributions have been reinvested at Market Price and NAV, respectively.
An index is a statistical composite that tracks a specified financial market or sector. Unlike a fund, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by a fund. These expenses negatively impact fund performance. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower.
Shareholders of each Fund may incur the following charges: (1) transactional expenses, including brokerage commissions on purchases and sales of fund shares and (2) ongoing expenses, including management fees and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other funds.
The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number under the heading entitled “Expenses Paid During the Period.”
The expense examples also provide information about hypothetical account values and hypothetical expenses based on a fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
|
A B O U T F U N D P E R F O R M A N C E / D I S C L O S U R E O F E X P E N S E S |
11 |
|
February 28, 2023 |
iShares® High Yield Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
|
Corporate Bonds & Notes |
||||||||
| Advertising — 0.6% | ||||||||
|
Advantage
Sales & Marketing Inc., |
$ | 1,005 | $ | 767,930 | ||||
|
Clear
Channel Outdoor Holdings Inc., |
135 | 112,033 | ||||||
|
|
|
|||||||
| 879,963 | ||||||||
| Aerospace & Defense — 3.8% | ||||||||
|
Bombardier
Inc., 7.88%, 04/15/27 |
970 | 963,995 | ||||||
|
Rolls-Royce
PLC |
200 | 185,500 | ||||||
|
5.75%, 10/15/27 (Call 07/15/27)(a) |
1,055 | 1,018,413 | ||||||
|
Spirit
AeroSystems Inc. |
1,000 | 999,100 | ||||||
|
9.38%, 11/30/29 (Call 11/30/25)(a) |
340 | 359,125 | ||||||
|
TransDigm
Inc., 6.25%, 03/15/26 |
1,015 | 1,001,547 | ||||||
|
TransDigm
UK Holdings PLC, 6.88%, 05/15/26 |
150 | 146,918 | ||||||
|
Triumph
Group Inc., 7.75%, 08/15/25 |
515 | 493,112 | ||||||
|
|
|
|||||||
| 5,167,710 | ||||||||
| Agriculture — 0.9% | ||||||||
|
Vector
Group Ltd. |
1,040 | 895,115 | ||||||
|
10.50%, 11/01/26 (Call 11/01/23)(a) |
309 | 309,773 | ||||||
|
|
|
|||||||
| 1,204,888 | ||||||||
| Airlines — 2.6% | ||||||||
|
Air Canada, 3.88%, 08/15/26 (Call 02/15/26)(a) |
1,110 | 999,924 | ||||||
|
Allegiant
Travel Co., 7.25%, 08/15/27 |
565 | 555,113 | ||||||
|
American Airlines Inc., 11.75%, 07/15/25(a) |
830 | 910,327 | ||||||
|
Delta
Air Lines Inc. |
390 | 355,914 | ||||||
|
7.38%, 01/15/26 (Call 12/15/25)(b) |
665 | 684,285 | ||||||
|
|
|
|||||||
| 3,505,563 | ||||||||
| Auto Manufacturers — 2.7% | ||||||||
|
Allison
Transmission Inc., 5.88%, 06/01/29 |
295 | 279,513 | ||||||
|
Ford
Motor Co. |
515 | 402,988 | ||||||
|
7.45%, 07/16/31 |
25 | 25,880 | ||||||
|
9.63%, 04/22/30 (Call 01/22/30)(b) |
200 | 230,014 | ||||||
|
Ford
Motor Credit Co. LLC |
570 | 536,569 | ||||||
|
5.58%, 03/18/24 (Call 02/18/24) |
850 | 844,050 | ||||||
|
Jaguar
Land Rover Automotive PLC |
565 | 472,964 | ||||||
|
5.50%, 07/15/29 (Call 07/15/24)(a) |
525 | 419,598 | ||||||
|
5.88%, 01/15/28 (Call 01/15/24)(a) |
260 | 221,911 | ||||||
|
7.75%, 10/15/25 (Call 10/15/23)(a) |
250 | 246,250 | ||||||
|
|
|
|||||||
| 3,679,737 | ||||||||
| Banks — 1.0% | ||||||||
|
Intesa Sanpaolo SpA |
||||||||
|
4.20%,
06/01/32 (Call 06/01/31), |
100 | 75,345 | ||||||
|
4.95%,
06/01/42 (Call 06/01/41), |
510 | 341,619 | ||||||
|
5.02%, 06/26/24(a)(b) |
275 | 265,628 | ||||||
|
5.71%, 01/15/26(a) |
725 | 693,945 | ||||||
|
|
|
|||||||
| 1,376,537 | ||||||||
| Biotechnology — 0.6% | ||||||||
|
Grifols
Escrow Issuer SA, 4.75%, 10/15/28 |
885 | 756,675 | ||||||
|
|
|
|||||||
| Security | Par (000) |
Value | ||||||
| Building Materials — 0.5% | ||||||||
|
Builders
FirstSource Inc., 6.38%, 06/15/32 |
$ | 750 | $ | 720,283 | ||||
|
|
|
|||||||
| Chemicals — 2.6% | ||||||||
|
Avient Corp., 5.75%, 05/15/25 (Call 05/15/23)(a) |
525 | 514,572 | ||||||
|
CVR
Partners LP/CVR Nitrogen Finance Corp., |
620 | 550,731 | ||||||
|
EverArc
Escrow Sarl, 5.00%, 10/30/29 |
830 | 660,315 | ||||||
|
Methanex Corp., 5.25%, 12/15/29 (Call 09/15/29) |
190 | 174,087 | ||||||
|
Rain
CII Carbon LLC/CII Carbon Corp., |
635 | 604,441 | ||||||
|
Sasol
Financing USA LLC |
200 | 166,750 | ||||||
|
5.88%, 03/27/24 (Call 02/27/24) |
900 | 889,380 | ||||||
|
|
|
|||||||
| 3,560,276 | ||||||||
| Coal — 0.5% | ||||||||
|
SunCoke
Energy Inc., 4.88%, 06/30/29 |
590 | 500,918 | ||||||
|
Warrior
Met Coal Inc., 7.88%, 12/01/28 |
235 | 234,418 | ||||||
|
|
|
|||||||
| 735,336 | ||||||||
| Commercial Services — 5.9% | ||||||||
|
ADT
Security Corp. (The) |
525 | 451,752 | ||||||
|
4.88%, 07/15/32(a) |
885 | 758,983 | ||||||
|
Adtalem
Global Education Inc., 5.50%, 03/01/28 |
318 | 292,729 | ||||||
|
Cimpress PLC, 7.00%, 06/15/26 (Call 06/15/23)(b) |
850 | 630,063 | ||||||
|
Deluxe Corp., 8.00%, 06/01/29 (Call 06/01/24)(a) |
575 | 479,957 | ||||||
|
Graham
Holdings Co., 5.75%, 06/01/26 |
144 | 140,869 | ||||||
|
Korn Ferry, 4.63%, 12/15/27 (Call 12/15/23)(a)(b) |
230 | 212,825 | ||||||
|
NESCO
Holdings II Inc., 5.50%, 04/15/29 |
1,020 | 909,075 | ||||||
|
Prime
Security Services Borrower LLC/Prime Finance Inc. |
798 | 771,067 | ||||||
|
6.25%, 01/15/28 (Call 01/15/24)(a)(b) |
735 | 681,786 | ||||||
|
Ritchie
Bros. Auctioneers Inc., 5.38%, 01/15/25 |
480 | 480,096 | ||||||
|
Sabre
GLBL Inc. |
790 | 739,453 | ||||||
|
9.25%, 04/15/25 (Call 03/16/25)(a)(b) |
425 | 418,345 | ||||||
|
11.25%, 12/15/27 (Call 06/15/25)(a) |
25 | 24,984 | ||||||
|
United
Rentals North America Inc., |
455 | 433,706 | ||||||
|
ZipRecruiter
Inc., 5.00%, 01/15/30 |
660 | 554,400 | ||||||
|
|
|
|||||||
| 7,980,090 | ||||||||
| Computers — 0.4% | ||||||||
|
Conduent
Business Services LLC/Conduent State & Local Solutions Inc.,
6.00%, 11/01/29 |
635 | 517,665 | ||||||
|
|
|
|||||||
| Cosmetics & Personal Care — 0.9% | ||||||||
|
Coty Inc., 5.00%, 04/15/26 (Call 04/15/23)(a) |
665 | 632,581 | ||||||
|
Coty
Inc./HFC Prestige Products Inc./HFC Prestige International U.S.
LLC, |
590 | 531,209 | ||||||
|
|
|
|||||||
| 1,163,790 | ||||||||
| Diversified Financial Services — 7.3% | ||||||||
|
Burford
Capital Global Finance LLC |
356 | 310,394 | ||||||
|
6.88%, 04/15/30 (Call 04/15/25)(a) |
325 | 280,410 | ||||||
|
Coinbase
Global Inc., 3.38%, 10/01/28 |
750 | 491,250 | ||||||
|
Credit
Acceptance Corp., 6.63%, 03/15/26 |
225 | 210,670 | ||||||
|
Enact
Holdings Inc., 6.50%, 08/15/25 |
710 | 697,752 | ||||||
|
goeasy Ltd., 5.38%, 12/01/24 (Call 12/01/23)(a) |
555 | 528,617 | ||||||
| 12 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® High Yield Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Diversified Financial Services (continued) | ||||||||
|
LD
Holdings Group LLC |
$ | 905 | $ | 536,212 | ||||
|
6.50%, 11/01/25 (Call 11/01/23)(a)(b) |
660 | 488,408 | ||||||
|
Nationstar
Mortgage Holdings Inc. |
675 | 522,976 | ||||||
|
5.50%, 08/15/28 (Call 08/15/23)(a) |
175 | 148,642 | ||||||
|
5.75%, 11/15/31 (Call 11/15/26)(a) |
695 | 545,172 | ||||||
|
OneMain
Finance Corp. |
50 | 42,102 | ||||||
|
6.63%, 01/15/28 (Call 07/15/27)(b) |
70 | 65,185 | ||||||
|
6.88%, 03/15/25 |
705 | 688,243 | ||||||
|
7.13%, 03/15/26 |
1,050 | 1,020,716 | ||||||
|
PennyMac
Financial Services Inc. |
450 | 411,248 | ||||||
|
5.75%, 09/15/31 (Call 09/15/26)(a) |
620 | 493,981 | ||||||
|
PRA
Group Inc. |
240 | 204,530 | ||||||
|
8.38%, 02/01/28 (Call 02/01/25) |
250 | 252,188 | ||||||
|
Rocket
Mortgage LLC/Rocket Mortgage Co-Issuer Inc. |
125 | 100,477 | ||||||
|
3.88%, 03/01/31 (Call 03/01/26)(a)(b) |
1,245 | 970,280 | ||||||
|
4.00%, 10/15/33 (Call 10/15/27)(a)(b) |
400 | 295,719 | ||||||
|
SLM
Corp., 3.13%, 11/02/26 |
575 | 496,058 | ||||||
|
|
|
|||||||
| 9,801,230 | ||||||||
| Electric — 3.1% | ||||||||
|
Drax
Finco PLC, 6.63%, 11/01/25 |
546 | 536,445 | ||||||
|
FirstEnergy Corp. |
||||||||
|
Series
C, 3.40%, 03/01/50 |
695 | 469,605 | ||||||
|
Series
C, 5.10%, 07/15/47 |
364 | 324,750 | ||||||
|
Mercury
Chile Holdco LLC, |
250 | 238,750 | ||||||
|
NRG
Energy Inc., 5.75%, 01/15/28 |
465 | 438,309 | ||||||
|
PG&E Corp. |
||||||||
|
5.00%, 07/01/28 (Call 07/01/23)(b) |
1,100 | 1,004,355 | ||||||
|
5.25%, 07/01/30 (Call 06/15/25)(b) |
225 | 200,812 | ||||||
|
Vistra
Operations Co. LLC |
585 | 558,730 | ||||||
|
5.63%, 02/15/27 (Call 02/15/24)(a) |
360 | 341,143 | ||||||
|
|
|
|||||||
| 4,112,899 | ||||||||
| Electrical Components & Equipment — 0.9% | ||||||||
|
Energizer
Holdings Inc. |
660 | 559,525 | ||||||
|
4.75%, 06/15/28 (Call 07/01/23)(a) |
730 | 637,071 | ||||||
|
|
|
|||||||
| 1,196,596 | ||||||||
| Energy - Alternate Sources — 0.5% | ||||||||
|
Enviva
Partners LP/Enviva Partners Finance Corp., 6.50%, 01/15/26 |
780 | 731,219 | ||||||
|
|
|
|||||||
| Engineering & Construction — 0.8% | ||||||||
|
AECOM,
5.13%, 03/15/27 |
890 | 851,130 | ||||||
|
Brundage-Bone
Concrete Pumping Holdings Inc., 6.00%, 02/01/26 |
230 | 213,821 | ||||||
|
|
|
|||||||
| 1,064,951 | ||||||||
| Entertainment — 2.8% | ||||||||
|
AMC
Entertainment Holdings Inc., |
1,105 | 662,193 | ||||||
|
Live
Nation Entertainment Inc., |
870 | 855,428 | ||||||
|
Odeon
Finco PLC, 12.75%, 11/01/27 |
465 | 434,938 | ||||||
| Security | Par (000) |
Value | ||||||
| Entertainment (continued) | ||||||||
|
Resorts
World Las Vegas LLC/RWLV Capital Inc., 4.63%, 04/16/29 |
$ | 1,465 | $ | 1,157,716 | ||||
|
Universal
Entertainment Corp., |
670 | 629,284 | ||||||
|
|
|
|||||||
| 3,739,559 | ||||||||
| Environmental Control — 0.8% | ||||||||
|
GFL
Environmental Inc. |
798 | 697,252 | ||||||
|
5.13%, 12/15/26 (Call 12/15/23)(a)(b) |
360 | 344,657 | ||||||
|
|
|
|||||||
| 1,041,909 | ||||||||
| Food — 0.2% | ||||||||
|
B&G
Foods Inc., 5.25%, 09/15/27 |
275 | 221,570 | ||||||
|
|
|
|||||||
| Gas — 0.4% | ||||||||
|
AmeriGas
Partners LP/AmeriGas Finance Corp. |
471 | 435,665 | ||||||
|
5.88%, 08/20/26 (Call 05/20/26) |
90 | 84,817 | ||||||
|
|
|
|||||||
| 520,482 | ||||||||
| Health Care - Products — 0.3% | ||||||||
|
Garden
Spinco Corp., 8.63%, 07/20/30 |
335 | 353,452 | ||||||
|
|
|
|||||||
| Health Care - Services — 1.8% | ||||||||
|
CHS/Community Health Systems Inc., 6.88%, 04/15/29 (Call 04/15/24)(a)(b) |
1,500 | 1,049,105 | ||||||
|
DaVita
Inc. |
405 | 305,816 | ||||||
|
4.63%, 06/01/30 (Call 06/01/25)(a) |
1,280 | 1,054,937 | ||||||
|
|
|
|||||||
| 2,409,858 | ||||||||
| Holding Companies - Diversified — 1.3% | ||||||||
|
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29 (Call 04/15/24)(a) |
265 | 230,983 | ||||||
|
Icahn
Enterprises LP/Icahn Enterprises Finance Corp. |
645 | 596,655 | ||||||
|
6.25%, 05/15/26 (Call 05/15/23) |
795 | 771,150 | ||||||
|
6.38%, 12/15/25 (Call 03/31/23) |
155 | 152,982 | ||||||
|
|
|
|||||||
| 1,751,770 | ||||||||
| Home Builders — 0.8% | ||||||||
|
Brookfield Residential Properties Inc./Brookfield Residential U.S. LLC 4.88%, 02/15/30 (Call 02/15/25)(a) |
615 | 462,578 | ||||||
|
6.25%, 09/15/27 (Call 09/15/23)(a) |
665 | 579,723 | ||||||
|
|
|
|||||||
| 1,042,301 | ||||||||
| Housewares — 0.5% | ||||||||
|
Newell
Brands Inc., 5.75%, 04/01/46 |
775 | 622,472 | ||||||
|
|
|
|||||||
| Insurance — 0.2% | ||||||||
|
NMI
Holdings Inc., 7.38%, 06/01/25 |
246 | 244,770 | ||||||
|
|
|
|||||||
| Internet — 2.3% | ||||||||
|
Gen
Digital Inc., 5.00%, 04/15/25 |
640 | 621,671 | ||||||
|
GrubHub Holdings Inc., 5.50%, 07/01/27 (Call 07/01/23)(a) |
710 | 560,900 | ||||||
|
Rakuten
Group Inc., 10.25%, 11/30/24 |
955 | 955,047 | ||||||
|
Uber Technologies Inc., 7.50%, 09/15/27 (Call 09/15/23)(a) |
900 | 912,519 | ||||||
|
|
|
|||||||
| 3,050,137 | ||||||||
| Iron & Steel — 1.6% | ||||||||
|
Cleveland-Cliffs
Inc., 5.88%, 06/01/27 |
485 | 470,678 | ||||||
|
Mineral
Resources Ltd. |
743 | 739,780 | ||||||
|
8.50%, 05/01/30 (Call 05/01/25)(a) |
470 | 470,569 | ||||||
|
S C H E D U L E O F I N V E S T M E N T S |
13 |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® High Yield Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Iron & Steel (continued) | ||||||||
|
U.S.
Steel Corp., 6.88%, 03/01/29 |
$ | 460 | $ | 460,211 | ||||
|
|
|
|||||||
| 2,141,238 | ||||||||
| Leisure Time — 4.5% | ||||||||
|
Carnival
Corp. |
1,305 | 1,171,533 | ||||||
|
9.88%, 08/01/27 (Call 02/01/24)(a)(b) |
400 | 407,196 | ||||||
|
10.50%, 02/01/26 (Call 08/01/23)(a) |
565 | 584,762 | ||||||
|
10.50%, 06/01/30 (Call 06/01/25)(a) |
150 | 145,252 | ||||||
|
NCL
Corp. Ltd., 5.88%, 02/15/27 |
1,115 | 1,034,162 | ||||||
|
Royal
Caribbean Cruises Ltd. |
600 | 523,477 | ||||||
|
5.50%, 08/31/26 (Call 02/28/26)(a) |
1,235 | 1,134,743 | ||||||
|
11.63%, 08/15/27 (Call 08/15/24)(a) |
440 | 468,618 | ||||||
|
Vista
Outdoor Inc., 4.50%, 03/15/29 |
655 | 531,369 | ||||||
|
|
|
|||||||
| 6,001,112 | ||||||||
|
Lodging — 2.1% |
||||||||
|
Genting New York LLC, 3.30%, 02/15/26 (Call 01/15/26)(a) |
600 | 524,796 | ||||||
|
Las
Vegas Sands Corp., |
225 | 216,534 | ||||||
|
Travel
+ Leisure Co. |
770 | 646,673 | ||||||
|
6.63%, 07/31/26 (Call 04/30/26)(a)(b) |
655 | 642,060 | ||||||
|
Wynn
Las Vegas LLC/Wynn Las Vegas Capital Corp. |
125 | 116,414 | ||||||
|
5.50%, 03/01/25 (Call 12/01/24)(a)(b) |
640 | 620,999 | ||||||
|
|
|
|||||||
| 2,767,476 | ||||||||
| Machinery — 0.6% | ||||||||
|
Vertiv
Group Corp., 4.13%, 11/15/28 |
965 | 838,382 | ||||||
|
|
|
|||||||
| Manufacturing — 0.5% | ||||||||
|
LSB
Industries Inc., 6.25%, 10/15/28 |
770 | 700,939 | ||||||
|
|
|
|||||||
| Media — 3.3% | ||||||||
|
CCO
Holdings LLC/CCO Holdings Capital Corp. |
1,209 | 905,000 | ||||||
|
4.50%, 06/01/33 (Call 06/01/27)(a) |
1,005 | 781,893 | ||||||
|
Directv
Financing LLC/Directv Financing Co-Obligor Inc., 5.88%,
08/15/27 |
1,095 | 978,950 | ||||||
|
GCI
LLC, 4.75%, 10/15/28 |
730 | 625,975 | ||||||
|
UPC
Broadband Finco BV, |
1,105 | 925,437 | ||||||
|
UPC
Holding BV, 5.50%, 01/15/28 |
275 | 243,375 | ||||||
|
|
|
|||||||
| 4,460,630 | ||||||||
| Mining — 4.3% | ||||||||
|
Arconic
Corp. |
200 | 200,000 | ||||||
|
6.13%, 02/15/28 (Call 02/15/24)(a)(b) |
965 | 948,112 | ||||||
|
Eldorado Gold Corp., 6.25%, 09/01/29 (Call 09/01/24)(a) |
665 | 588,179 | ||||||
|
Endeavour Mining PLC, 5.00%, 10/14/26 (Call 10/14/23)(a)(b) |
600 | 504,000 | ||||||
|
First
Quantum Minerals Ltd. |
580 | 553,358 | ||||||
|
7.50%, 04/01/25 (Call 04/01/23)(a)(b) |
1,005 | 974,856 | ||||||
|
Hecla
Mining Co., 7.25%, 02/15/28 |
470 | 457,511 | ||||||
|
IAMGOLD
Corp., 5.75%, 10/15/28 |
615 | 458,126 | ||||||
|
Stillwater
Mining Co. |
700 | 621,947 | ||||||
|
4.50%, 11/16/29 (Call 11/16/25)(a) |
650 | 533,000 | ||||||
|
|
|
|||||||
| 5,839,089 | ||||||||
| Oil & Gas — 7.9% | ||||||||
|
Antero Resources Corp., 7.63%, 02/01/29 (Call 02/01/24)(a) |
366 | 368,714 | ||||||
| Security | Par (000) |
Value | ||||||
| Oil & Gas (continued) | ||||||||
|
California
Resources Corp., 7.13%, 02/01/26 |
$ | 575 | $ | 579,341 | ||||
|
Civitas
Resources Inc., 5.00%, 10/15/26 |
266 | 245,915 | ||||||
|
CNX
Resources Corp. |
335 | 303,721 | ||||||
|
7.25%, 03/14/27 (Call 03/14/23)(a) |
334 | 331,254 | ||||||
|
7.38%, 01/15/31 (Call 01/15/26)(a) |
515 | 490,641 | ||||||
|
Earthstone
Energy Holdings LLC, |
530 | 507,639 | ||||||
|
Energean
PLC, 6.50%, 04/30/27 |
475 | 436,846 | ||||||
|
Gulfport
Energy Corp., 8.00%, 05/17/26 |
315 | 306,142 | ||||||
|
Harbour
Energy PLC, 5.50%, 10/15/26 |
520 | 481,000 | ||||||
|
Ithaca
Energy North Sea PLC, |
635 | 624,688 | ||||||
|
Kosmos
Energy Ltd. |
750 | 675,000 | ||||||
|
7.50%, 03/01/28 (Call 03/01/24)(a)(b) |
545 | 467,338 | ||||||
|
Magnolia
Oil & Gas Operating LLC/Magnolia Oil & Gas Finance
Corp., |
120 | 114,900 | ||||||
|
Matador Resources Co., 5.88%, 09/15/26 (Call 09/15/23)(b) |
1,043 | 1,005,668 | ||||||
|
Oasis
Petroleum Inc., 6.38%, 06/01/26 |
250 | 241,085 | ||||||
|
Occidental
Petroleum Corp. |
300 | 325,803 | ||||||
|
8.50%, 07/15/27 (Call 01/15/27) |
301 | 322,940 | ||||||
|
Patterson-UTI Energy Inc., 3.95%, 02/01/28 (Call 11/01/27)(b) |
345 | 301,512 | ||||||
|
PBF
Holding Co. LLC/PBF Finance Corp. |
515 | 480,407 | ||||||
|
7.25%, 06/15/25 (Call 06/15/23) |
665 | 663,557 | ||||||
|
PDC
Energy Inc., 5.75%, 05/15/26 |
430 | 410,644 | ||||||
|
Sunoco
LP/Sunoco Finance Corp., |
320 | 314,400 | ||||||
|
Talos
Production Inc., 12.00%, 01/15/26 |
595 | 627,945 | ||||||
|
|
|
|||||||
| 10,627,100 | ||||||||
| Oil & Gas Services — 3.2% | ||||||||
|
Archrock
Partners LP/Archrock Partners Finance Corp. |
235 | 223,081 | ||||||
|
6.88%, 04/01/27 (Call 04/01/23)(a) |
505 | 489,916 | ||||||
|
Bristow
Group Inc., 6.88%, 03/01/28 |
285 | 268,290 | ||||||
|
CGG
SA, 8.75%, 04/01/27 |
595 | 521,294 | ||||||
|
Enerflex
Ltd., 9.00%, 10/15/27 |
650 | 641,511 | ||||||
|
USA
Compression Partners LP/USA Compression Finance Corp. |
795 | 761,920 | ||||||
|
6.88%, 09/01/27 (Call 09/01/23) |
395 | 374,002 | ||||||
|
Weatherford
International Ltd., |
1,035 | 1,033,603 | ||||||
|
|
|
|||||||
| 4,313,617 | ||||||||
| Packaging & Containers — 1.2% | ||||||||
|
Ardagh
Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 3.25%,
09/01/28 |
695 | 583,221 | ||||||
|
Berry
Global Inc., 5.63%, 07/15/27 |
520 | 500,500 | ||||||
|
Graham
Packaging Co. Inc., |
620 | 533,269 | ||||||
|
|
|
|||||||
| 1,616,990 | ||||||||
| Pharmaceuticals — 2.0% | ||||||||
|
Bausch
Health Americas Inc., |
905 | 476,157 | ||||||
| 14 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® High Yield Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Pharmaceuticals (continued) | ||||||||
|
Bausch
Health Companies Inc. |
$ | 475 | $ | 204,806 | ||||
|
6.13%, 02/01/27 (Call 02/01/24)(a) |
1,305 | 900,450 | ||||||
|
14.00%, 10/15/30 (Call 10/15/25)(a) |
575 | 364,124 | ||||||
|
Elanco Animal Health Inc., 6.65%, 08/28/28 (Call 05/28/28)(b) |
805 | 768,670 | ||||||
|
|
|
|||||||
| 2,714,207 | ||||||||
| Pipelines — 3.5% | ||||||||
|
Antero
Midstream Partners LP/Antero Midstream Finance Corp. |
545 | 514,486 | ||||||
|
7.88%, 05/15/26 (Call 05/15/23)(a)(b) |
560 | 565,574 | ||||||
|
Crestwood
Midstream Partners LP/Crestwood Midstream Finance Corp. |
410 | 397,685 | ||||||
|
8.00%, 04/01/29 (Call 04/01/24)(a)(b) |
425 | 422,875 | ||||||
|
Delek Logistics Partners LP/Delek Logistics Finance Corp., 7.13%, 06/01/28 (Call 06/01/24)(a) |
255 | 224,400 | ||||||
|
EnLink
Midstream Partners LP, |
440 | 421,927 | ||||||
|
EQM
Midstream Partners LP, |
395 | 294,228 | ||||||
|
Holly
Energy Partners LP/Holly Energy Finance Corp., 5.00%, 02/01/28 |
560 | 508,194 | ||||||
|
New
Fortress Energy Inc. |
1,090 | 997,350 | ||||||
|
6.75%, 09/15/25 (Call 09/15/23)(a) |
265 | 248,480 | ||||||
|
NGL
Energy Operating LLC/NGL Energy Finance Corp.,
7.50%, 02/01/26 |
116 | 110,770 | ||||||
|
|
|
|||||||
| 4,705,969 | ||||||||
| Real Estate — 0.5% | ||||||||
|
Cushman &
Wakefield U.S. Borrower, LLC, 6.75%, 05/15/28 |
690 | 650,428 | ||||||
|
|
|
|||||||
| Real Estate Investment Trusts — 5.9% | ||||||||
|
Apollo
Commercial Real Estate Finance Inc., 4.63%, 06/15/29 |
565 | 435,793 | ||||||
|
Brookfield Property REIT Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL |
||||||||
|
4.50%, 04/01/27 (Call 10/01/23)(a) |
195 | 167,070 | ||||||
|
5.75%, 05/15/26 (Call 05/15/23)(a)(b) |
1,080 | 994,161 | ||||||
|
Iron
Mountain Inc. |
175 | 144,896 | ||||||
|
5.25%, 03/15/28 (Call 12/27/23)(a) |
75 | 69,044 | ||||||
|
5.63%, 07/15/32 (Call 07/15/26)(a) |
220 | 190,335 | ||||||
|
MPT
Operating Partnership LP/MPT Finance Corp. |
1,100 | 822,250 | ||||||
|
5.00%, 10/15/27 (Call 09/07/23) |
595 | 488,193 | ||||||
|
Office
Properties Income Trust, |
755 | 694,617 | ||||||
|
Park
Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer |
125 | 104,477 | ||||||
|
5.88%, 10/01/28 (Call 10/01/23)(a) |
700 | 622,625 | ||||||
|
7.50%, 06/01/25 (Call 06/01/23)(a) |
345 | 346,088 | ||||||
|
RLJ
Lodging Trust LP |
580 | 524,780 | ||||||
|
4.00%, 09/15/29 (Call 09/15/24)(a) |
590 | 486,269 | ||||||
|
Service
Properties Trust, |
510 | 442,425 | ||||||
|
Uniti Group LP/Uniti Fiber Holdings Inc./CSL Capital LLC, 7.88%, 02/15/25 (Call 02/15/24)(a) |
385 | 392,479 | ||||||
| Security | Par/ Shares (000) |
Value | ||||||
| Real Estate Investment Trusts (continued) | ||||||||
|
Uniti
Group LP/Uniti Group Finance Inc./CSL Capital LLC |
$ | 515 | $ | 408,241 | ||||
|
6.50%, 02/15/29 (Call 02/15/24)(a)(b) |
220 | 144,101 | ||||||
|
10.50%, 02/15/28 (Call 09/15/25)(a) |
35 | 35,007 | ||||||
|
XHR
LP, 6.38%, 08/15/25 |
452 | 438,419 | ||||||
|
|
|
|||||||
| 7,951,270 | ||||||||
| Retail — 3.6% | ||||||||
|
Arko
Corp., 5.13%, 11/15/29 |
555 | 439,610 | ||||||
|
Bath &
Body Works Inc. |
575 | 493,781 | ||||||
|
6.88%, 11/01/35 |
1,015 | 895,829 | ||||||
|
Dave & Buster’s Inc., 7.63%, 11/01/25 (Call 11/01/23)(a)(b) |
271 | 274,726 | ||||||
|
FirstCash
Inc. |
530 | 460,421 | ||||||
|
5.63%, 01/01/30 (Call 01/01/25)(a) |
625 | 552,837 | ||||||
|
Gap
Inc. (The) |
385 | 282,334 | ||||||
|
3.88%, 10/01/31 (Call 10/01/26)(a)(b) |
160 | 114,794 | ||||||
|
Macy’s
Retail Holdings LLC, |
285 | 245,100 | ||||||
|
QVC
Inc. |
705 | 392,819 | ||||||
|
4.45%, 02/15/25 (Call 11/15/24) |
350 | 282,625 | ||||||
|
4.75%, 02/15/27 (Call 11/15/26) |
745 | 476,800 | ||||||
|
|
|
|||||||
| 4,911,676 | ||||||||
| Software — 1.2% | ||||||||
|
MicroStrategy
Inc., 6.13%, 06/15/28 |
665 | 551,950 | ||||||
|
ROBLOX
Corp., 3.88%, 05/01/30 |
1,270 | 1,044,080 | ||||||
|
|
|
|||||||
| 1,596,030 | ||||||||
| Telecommunications — 2.2% | ||||||||
|
Embarq Corp., 8.00%, 06/01/36 |
1,990 | 856,506 | ||||||
|
Frontier Communications Holdings LLC, 6.75%, 05/01/29 (Call 05/01/24)(a)(b) |
240 | 201,647 | ||||||
|
Hughes
Satellite Systems Corp. |
475 | 454,812 | ||||||
|
6.63%, 08/01/26(b) |
529 | 497,921 | ||||||
|
Lumen
Technologies Inc. |
195 | 103,058 | ||||||
|
5.38%, 06/15/29 (Call 06/15/24)(a)(b) |
710 | 385,175 | ||||||
|
Sprint Capital Corp., 8.75%, 03/15/32 |
400 | 476,196 | ||||||
|
|
|
|||||||
| 2,975,315 | ||||||||
| Trucking & Leasing — 0.9% | ||||||||
|
Fortress
Transportation and Infrastructure Investors LLC |
1,155 | 1,031,487 | ||||||
|
6.50%, 10/01/25 (Call 10/01/23)(a) |
205 | 199,951 | ||||||
|
|
|
|||||||
| 1,231,438 | ||||||||
|
|
|
|||||||
|
Total
Long-Term Investments — 96.0% |
129,196,594 | |||||||
|
|
|
|||||||
|
Short-Term Securities |
||||||||
| Money Market Funds — 19.1% | ||||||||
|
BlackRock Cash Funds: Institutional, SL Agency Shares, 4.81%(d)(e)(f) |
24,435 | 24,449,304 | ||||||
|
S C H E D U L E O F I N V E S T M E N T S |
15 |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® High Yield Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Shares (000) |
Value | ||||||
| Money Market Funds (continued) | ||||||||
|
BlackRock Cash Funds: Treasury, SL Agency Shares, 4.41%(d)(e) |
1,280 | $ | 1,280,000 | |||||
|
|
|
|||||||
|
Total
Short-Term Securities — 19.1% |
|
25,729,304 | ||||||
|
|
|
|||||||
|
Total
Investments — 115.1% |
|
154,925,898 | ||||||
|
Liabilities in Excess of Other Assets — (15.1)% |
|
(20,310,659 | ) | |||||
|
|
|
|||||||
|
Net Assets — 100.0% |
$ | 134,615,239 | ||||||
|
|
|
|||||||
| (a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (b) |
All or a portion of this security is on loan. |
| (c) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| (d) |
Affiliate of the Fund. |
| (e) |
Annualized 7-day yield as of period end. |
| (f) |
All or a portion of this security was purchased with the cash collateral from loaned securities. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
|
||||||||||||||||||||||||||||||||||||
| Affiliated Issuer | Value
at 02/28/22 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value
at 02/28/23 |
Shares Held at 02/28/23 (000) |
Income | Capital
Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
|
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 16,908,997 | $ | 7,532,374 | (a) | $ | — | $ | (6,135 | ) | $ | 14,068 | $ | 24,449,304 | 24,435 | $ | 176,901 | (b) | $ | — | ||||||||||||||||
|
BlackRock Cash Funds: Treasury, SL Agency Shares |
4,590,000 | — | (3,310,000 | )(a) | — | — | 1,280,000 | 1,280 | 26,652 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (6,135 | ) | $ | 14,068 | $ | 25,729,304 | $ | 203,553 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) |
Represents net amount purchased (sold). |
| (b) |
All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
|
||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
|
||||||||||||||||
|
Assets |
||||||||||||||||
|
Investments |
||||||||||||||||
|
Long-Term Investments |
||||||||||||||||
|
Corporate Bonds & Notes |
$ | — | $ | 129,196,594 | $ | — | $ | 129,196,594 | ||||||||
|
Short-Term Securities |
||||||||||||||||
|
Money Market Funds |
25,729,304 | — | — | 25,729,304 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 25,729,304 | $ | 129,196,594 | $ | — | $ | 154,925,898 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See notes to financial statements.
| 16 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments February 28, 2023 |
iShares® Investment Grade Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
|
Corporate Bonds & Notes |
||||||||
| Advertising — 0.0% | ||||||||
|
Interpublic Group of Companies Inc. (The), 3.38%, 03/01/41 (Call 09/01/40) |
$ | 150 | $ | 109,239 | ||||
|
|
|
|||||||
| Aerospace & Defense — 2.4% | ||||||||
|
Boeing
Co. (The) |
595 | 458,011 | ||||||
|
5.15%, 05/01/30 (Call 02/01/30) |
1,200 | 1,161,200 | ||||||
|
5.71%, 05/01/40 (Call 11/01/39) |
225 | 214,204 | ||||||
|
5.93%, 05/01/60 (Call 11/01/59) |
1,180 | 1,101,906 | ||||||
|
L3Harris Technologies Inc., 4.40%, 06/15/28 (Call 03/15/28) |
1,450 | 1,399,746 | ||||||
|
Northrop Grumman Corp., 4.75%, 06/01/43 |
275 | 251,612 | ||||||
|
Raytheon
Technologies Corp. |
875 | 786,532 | ||||||
|
4.88%, 10/15/40 |
310 | 289,376 | ||||||
|
|
|
|||||||
| 5,662,587 | ||||||||
| Agriculture — 2.3% | ||||||||
|
Altria
Group Inc. |
230 | 198,170 | ||||||
|
4.80%, 02/14/29 (Call 11/14/28) |
176 | 168,827 | ||||||
|
5.38%, 01/31/44 |
1,023 | 892,380 | ||||||
|
5.80%, 02/14/39 (Call 08/14/38) |
853 | 786,107 | ||||||
|
BAT
Capital Corp. |
801 | 729,445 | ||||||
|
4.74%, 03/16/32 (Call 12/16/31)(a) |
30 | 26,863 | ||||||
|
4.91%, 04/02/30 (Call 01/02/30) |
269 | 248,417 | ||||||
|
BAT
International Finance PLC, |
270 | 252,431 | ||||||
|
Philip Morris International Inc., 6.38%, 05/16/38 |
960 | 1,012,867 | ||||||
|
Reynolds
American Inc. |
391 | 355,524 | ||||||
|
5.85%, 08/15/45 (Call 02/12/45) |
758 | 650,601 | ||||||
|
|
|
|||||||
| 5,321,632 | ||||||||
| Auto Parts & Equipment — 0.4% | ||||||||
|
Aptiv
PLC/Aptiv Corp., 3.25%, 03/01/32 |
1,115 | 930,405 | ||||||
|
|
|
|||||||
| Banks — 17.3% | ||||||||
|
Bank
of America Corp. |
||||||||
|
(3 mo. LIBOR US + 1.190%)(b) |
1,305 | 1,103,368 | ||||||
|
3.37%,
01/23/26 (Call 01/23/25), |
1,045 | 1,000,299 | ||||||
|
3.82%,
01/20/28 (Call 01/20/27), |
1,255 | 1,177,878 | ||||||
|
3.97%,
03/05/29 (Call 03/05/28), |
540 | 501,356 | ||||||
|
4.30%, (Call 01/28/25), (3 mo. LIBOR US + 2.664%)(a)(b)(c) |
950 | 861,642 | ||||||
|
5.13%, (Call 06/20/24), (3 mo. LIBOR US + 3.292%)(a)(b)(c) |
1,250 | 1,214,138 | ||||||
|
6.50%, (Call 10/23/24), (3 mo. LIBOR US + 4.174%)(b)(c) |
480 | 477,360 | ||||||
|
Series
FF, 5.88%, (Call 03/15/28), |
1,440 | 1,344,888 | ||||||
|
Bank
of New York Mellon Corp. (The), Series F, 4.63%,
(Call 09/20/26), |
1,355 | 1,233,034 | ||||||
|
Citigroup
Inc. |
390 | 373,281 | ||||||
|
3.35%,
04/24/25 (Call 04/24/24), |
855 | 831,875 | ||||||
|
4.60%, 03/09/26 |
209 | 203,499 | ||||||
| Security | Par (000) |
Value | ||||||
| Banks (continued) | ||||||||
|
Discover
Bank |
$ | 455 | $ | 423,586 | ||||
|
4.65%, 09/13/28 (Call 06/13/28) |
1,210 | 1,152,002 | ||||||
|
Fifth
Third Bancorp., 4.77%, 07/28/30 |
1,205 | 1,155,157 | ||||||
|
Goldman
Sachs Group Inc. (The) |
460 | 453,180 | ||||||
|
5.70%, 11/01/24 |
1,090 | 1,096,434 | ||||||
|
HSBC
Holdings PLC |
1,220 | 1,162,849 | ||||||
|
4.30%, 03/08/26 |
1,125 | 1,087,903 | ||||||
|
4.95%, 03/31/30 |
260 | 250,522 | ||||||
|
5.40%,
08/11/33 (Call 08/11/32), |
355 | 340,243 | ||||||
|
7.39%,
11/03/28 (Call 11/03/27), |
1,350 | 1,425,919 | ||||||
|
Huntington
Bancshares Inc., 2.49%, 08/15/36 |
505 | 371,762 | ||||||
|
Huntington National Bank (The), 5.65%, 01/10/30 (Call 11/10/29) |
935 | 943,304 | ||||||
|
JPMorgan
Chase & Co. (1 day SOFR + 1.065%)(b) |
1,670 | 1,296,833 | ||||||
|
2.01%,
03/13/26 (Call 03/13/25), |
1,015 | 944,075 | ||||||
|
2.30%,
10/15/25 (Call 10/15/24), |
1,200 | 1,134,968 | ||||||
|
2.74%,
10/15/30 (Call 10/15/29), |
1,400 | 1,180,896 | ||||||
|
5.00%,
(Call 08/01/24), |
1,130 | 1,097,513 | ||||||
|
Series
HH, 4.60%, (Call 02/01/25), |
1,333 | 1,236,557 | ||||||
|
Mitsubishi
UFJ Financial Group Inc. (1 year CMT + 0.950%)(b) |
555 | 433,322 | ||||||
|
5.13%,
07/20/33 (Call 07/20/32), |
1,075 | 1,037,937 | ||||||
|
Morgan
Stanley (3 mo. LIBOR US + 1.340%)(b) |
1,205 | 1,112,273 | ||||||
|
3.62%,
04/01/31 (Call 04/01/30), |
1,310 | 1,159,967 | ||||||
|
3.77%,
01/24/29 (Call 01/24/28), |
1,325 | 1,223,245 | ||||||
|
4.43%,
01/23/30 (Call 01/23/29), |
1,185 | 1,115,503 | ||||||
|
Truist
Bank, 2.64%, 09/17/29 (Call 09/17/24), |
1,035 | 975,161 | ||||||
|
Truist
Financial Corp., Series N, 4.80%, |
1,235 | 1,172,537 | ||||||
|
U.S.
Bancorp., 5.30%, (Call 04/15/27), |
1,360 | 1,226,769 | ||||||
|
Wells
Fargo & Co. (3 mo. SOFR + 1.432%)(b) |
1,205 | 1,026,796 | ||||||
|
3.20%,
06/17/27 (Call 06/17/26), |
1,215 | 1,127,216 | ||||||
|
5.88%, (Call 06/15/25), (3 mo. LIBOR US + 3.990%)(b)(c) |
1,000 | 992,000 | ||||||
|
5.90%, (Call 06/15/24), (3 mo. LIBOR US + 3.110%)(a)(b)(c) |
985 | 963,754 | ||||||
|
|
|
|||||||
| 40,642,801 | ||||||||
|
S C H E D U L E O F I N V E S T M E N T S |
17 |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® Investment Grade Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Beverages — 1.0% | ||||||||
|
Anheuser-Busch
Companies LLC/Anheuser-Busch InBev Worldwide Inc., 4.70%,
02/01/36 |
$ | 1,080 | $ | 1,013,720 | ||||
|
Anheuser-Busch
InBev Worldwide Inc. |
60 | 59,802 | ||||||
|
8.20%, 01/15/39 |
427 | 531,713 | ||||||
|
Keurig
Dr Pepper Inc., 4.60%, 05/25/28 |
655 | 635,581 | ||||||
|
|
|
|||||||
| 2,240,816 | ||||||||
| Biotechnology — 2.7% | ||||||||
|
Amgen Inc., 4.40%, 05/01/45 (Call 11/01/44) |
504 | 421,468 | ||||||
|
Biogen Inc., 2.25%, 05/01/30 (Call 02/01/30) |
1,385 | 1,121,311 | ||||||
|
Bio-Rad Laboratories Inc., 3.70%,
03/15/32 |
560 | 488,376 | ||||||
|
Gilead
Sciences Inc. |
1,055 | 971,815 | ||||||
|
5.65%, 12/01/41 (Call 06/01/41) |
480 | 492,250 | ||||||
|
Illumina
Inc. |
405 | 323,723 | ||||||
|
5.75%, 12/13/27 (Call 11/13/27) |
165 | 166,140 | ||||||
|
Regeneron
Pharmaceuticals Inc., |
1,440 | 1,121,120 | ||||||
|
Royalty
Pharma PLC |
880 | 787,891 | ||||||
|
1.75%, 09/02/27 (Call 07/02/27) |
20 | 16,945 | ||||||
|
2.15%, 09/02/31 (Call 06/02/31) |
70 | 53,221 | ||||||
|
3.35%, 09/02/51 (Call 03/02/51) |
360 | 223,970 | ||||||
|
3.55%, 09/02/50 (Call 03/02/50) |
225 | 146,586 | ||||||
|
|
|
|||||||
| 6,334,816 | ||||||||
| Building Materials — 0.4% | ||||||||
|
Eagle
Materials Inc., 2.50%, 07/01/31 |
1,110 | 869,192 | ||||||
|
|
|
|||||||
| Chemicals — 1.4% | ||||||||
|
Albemarle
Corp., 5.05%, 06/01/32 |
175 | 166,338 | ||||||
|
Dow
Chemical Co. (The), 5.55%, 11/30/48 |
555 | 532,412 | ||||||
|
DuPont
de Nemours Inc., 5.32%, 11/15/38 |
575 | 558,046 | ||||||
|
Huntsman International LLC, 4.50%, 05/01/29 (Call 02/01/29). |
990 | 901,969 | ||||||
|
LYB
International Finance BV, 4.88%, 03/15/44 |
650 | 550,431 | ||||||
|
LyondellBasell
Industries NV, 4.63%, 02/26/55 |
605 | 481,807 | ||||||
|
|
|
|||||||
| 3,191,003 | ||||||||
| Commercial Services — 1.1% | ||||||||
|
Equifax Inc., 2.35%, 09/15/31 (Call 06/15/31) |
905 | 713,279 | ||||||
|
Quanta
Services Inc. |
140 | 106,926 | ||||||
|
2.90%, 10/01/30 (Call 07/01/30) |
1,385 | 1,146,266 | ||||||
|
Verisk
Analytics Inc., 4.00%, 06/15/25 |
635 | 614,497 | ||||||
|
|
|
|||||||
| 2,580,968 | ||||||||
| Computers — 1.7% | ||||||||
|
Apple Inc., 2.40%, 08/20/50 (Call 02/20/50) |
975 | 618,483 | ||||||
|
Hewlett Packard Enterprise Co., 6.35%, 10/15/45 (Call 04/15/45) |
355 | 349,959 | ||||||
|
HP
Inc. |
775 | 661,449 | ||||||
|
4.20%, 04/15/32 (Call 01/15/32) |
310 | 266,591 | ||||||
|
6.00%, 09/15/41(a) |
587 | 574,367 | ||||||
|
Leidos
Inc. |
465 | 362,537 | ||||||
|
4.38%, 05/15/30 (Call 02/15/30) |
960 | 879,626 | ||||||
|
Teledyne
FLIR LLC, 2.50%, 08/01/30 |
325 | 264,504 | ||||||
|
|
|
|||||||
| 3,977,516 | ||||||||
| Security | Par (000) |
Value | ||||||
| Diversified Financial Services — 0.7% | ||||||||
|
American
Express Co., 3.55%, (Call 09/15/26), |
$ | 1,450 | $ | 1,230,906 | ||||
|
Raymond James Financial Inc., 4.95%, 07/15/46 |
560 | 510,590 | ||||||
|
|
|
|||||||
| 1,741,496 | ||||||||
| Electric — 9.2% | ||||||||
|
Ameren
Illinois Co., 3.85%, 09/01/32 |
285 | 260,829 | ||||||
|
Avangrid
Inc. |
585 | 555,846 | ||||||
|
3.80%, 06/01/29 (Call 03/01/29) |
760 | 687,817 | ||||||
|
Commonwealth
Edison Co. |
245 | 168,308 | ||||||
|
4.00%, 03/01/48 (Call 09/01/47) |
130 | 106,611 | ||||||
|
Connecticut
Light & Power Co. (The), |
865 | 725,556 | ||||||
|
Consumers
Energy Co., 3.10%, 08/15/50 |
225 | 158,398 | ||||||
|
Dominion
Energy Inc. |
1,035 | 897,625 | ||||||
|
Series
B, 4.65%, (Call 12/15/24), |
960 | 885,600 | ||||||
|
DTE
Electric Co. |
120 | 81,719 | ||||||
|
Series A, 3.00%, 03/01/32 (Call 12/01/31) |
210 | 179,140 | ||||||
|
Duke
Energy Carolinas LLC |
280 | 234,638 | ||||||
|
3.20%, 08/15/49 (Call 02/15/49) |
820 | 579,689 | ||||||
|
3.95%, 03/15/48 (Call 09/15/47) |
40 | 32,107 | ||||||
|
Duke
Energy Corp., 3.75%, 09/01/46 |
285 | 210,115 | ||||||
|
Duke
Energy Florida LLC, 2.40%, 12/15/31 |
575 | 467,170 | ||||||
|
Duke
Energy Indiana LLC |
350 | 219,301 | ||||||
|
Series YYY, 3.25%, 10/01/49 (Call 04/01/49) |
205 | 145,390 | ||||||
|
Duke
Energy Progress LLC |
410 | 322,880 | ||||||
|
3.40%, 04/01/32 (Call 01/01/32)(a) |
295 | 259,442 | ||||||
|
3.45%, 03/15/29 (Call 12/15/28) |
285 | 260,224 | ||||||
|
Emera
U.S. Finance LP |
234 | 219,665 | ||||||
|
4.75%, 06/15/46 (Call 12/15/45) |
1,405 | 1,103,971 | ||||||
|
Enel
Finance International NV, 4.63%, 06/15/27 |
1,145 | 1,099,146 | ||||||
|
Entergy
Louisiana LLC |
305 | 241,994 | ||||||
|
4.00%, 03/15/33 (Call 12/15/32) |
880 | 792,539 | ||||||
|
4.20%, 09/01/48 (Call 03/01/48) |
340 | 284,355 | ||||||
|
Evergy Inc., 2.90%, 09/15/29 (Call 06/15/29) |
740 | 633,358 | ||||||
|
Evergy
Kansas Central Inc., 3.45%, 04/15/50 |
280 | 205,248 | ||||||
|
Exelon Corp., 4.05%, 04/15/30 (Call 01/15/30) |
1,155 | 1,059,297 | ||||||
|
Florida
Power & Light Co. |
975 | 801,728 | ||||||
|
3.15%, 10/01/49 (Call 04/01/49) |
180 | 127,601 | ||||||
|
3.95%, 03/01/48 (Call 09/01/47) |
965 | 789,115 | ||||||
|
Fortis
Inc./Canada, 3.06%, 10/04/26 |
1,195 | 1,109,591 | ||||||
|
Georgia Power Co., 4.30%, 03/15/42 |
200 | 167,962 | ||||||
|
Kentucky
Utilities Co., 3.30%, 06/01/50 |
303 | 213,986 | ||||||
|
Oncor
Electric Delivery Co. LLC, 3.10%, 09/15/49 |
620 | 435,755 | ||||||
|
Public
Service Co. of Colorado, 1.88%, 06/15/31 |
690 | 546,243 | ||||||
|
Public
Service Electric & Gas Co., |
440 | 383,062 | ||||||
| 18 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® Investment Grade Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Electric (continued) | ||||||||
|
San Diego Gas & Electric Co. |
||||||||
|
Series WWW, 2.95%, 08/15/51 (Call 02/15/51) |
$ | 735 | $ | 487,063 | ||||
|
Series XXX, 3.00%, 03/15/32 (Call 12/15/31) |
125 | 105,891 | ||||||
|
Sempra
Energy |
215 | 198,291 | ||||||
|
3.40%, 02/01/28 (Call 10/01/27) |
95 | 86,992 | ||||||
|
4.88%, (Call 07/15/25), (5 year CMT + 4.550%)(b)(c) |
1,095 | 1,032,173 | ||||||
|
Southern
Co. (The) |
681 | 634,969 | ||||||
|
4.40%, 07/01/46 (Call 01/01/46) |
975 | 802,376 | ||||||
|
Union
Electric Co. |
545 | 430,240 | ||||||
|
2.63%, 03/15/51 (Call 09/15/50) |
315 | 200,748 | ||||||
|
|
|
|||||||
| 21,631,764 | ||||||||
| Electronics — 0.6% | ||||||||
|
Jabil Inc., 4.25%, 05/15/27 (Call 04/15/27)(a) |
235 | 223,397 | ||||||
|
TD
SYNNEX Corp. |
200 | 187,159 | ||||||
|
1.75%, 08/09/26 (Call 07/09/26) |
510 | 438,831 | ||||||
|
2.38%, 08/09/28 (Call 06/09/28) |
415 | 342,319 | ||||||
|
Trimble Inc., 4.90%, 06/15/28 (Call 03/15/28) |
170 | 163,133 | ||||||
|
|
|
|||||||
| 1,354,839 | ||||||||
| Environmental Control — 0.1% | ||||||||
|
Republic
Services Inc., 3.95%, 05/15/28 |
330 | 312,552 | ||||||
|
|
|
|||||||
| Food — 1.6% | ||||||||
|
Campbell
Soup Co., 4.15%, 03/15/28 |
1,135 | 1,083,694 | ||||||
|
Conagra
Brands Inc. |
315 | 305,164 | ||||||
|
5.30%, 11/01/38 (Call 05/01/38) |
995 | 927,592 | ||||||
|
Sysco
Corp. |
855 | 886,312 | ||||||
|
6.60%, 04/01/50 (Call 10/01/49) |
552 | 605,732 | ||||||
|
|
|
|||||||
| 3,808,494 | ||||||||
| Gas — 0.9% | ||||||||
|
National
Fuel Gas Co. |
325 | 258,347 | ||||||
|
5.50%, 01/15/26 (Call 12/15/25) |
390 | 388,351 | ||||||
|
NiSource
Inc. |
615 | 548,990 | ||||||
|
4.38%, 05/15/47 (Call 11/15/46) |
1,044 | 872,596 | ||||||
|
|
|
|||||||
| 2,068,284 | ||||||||
| Health Care - Products — 2.1% | ||||||||
|
DENTSPLY
SIRONA Inc., 3.25%, 06/01/30 |
1,060 | 903,024 | ||||||
|
Edwards Lifesciences Corp., 4.30%, 06/15/28 (Call 03/15/28) |
143 | 137,009 | ||||||
|
PerkinElmer
Inc. |
485 | 376,110 | ||||||
|
3.30%, 09/15/29 (Call 06/15/29) |
1,008 | 871,093 | ||||||
|
Smith &
Nephew PLC, 2.03%, 10/14/30 |
1,420 | 1,114,042 | ||||||
|
STERIS
Irish FinCo UnLtd Co. |
445 | 366,450 | ||||||
|
3.75%, 03/15/51 (Call 09/15/50) |
475 | 341,293 | ||||||
|
Zimmer
Biomet Holdings Inc. |
770 | 624,013 | ||||||
|
3.55%, 04/01/25 (Call 01/01/25) |
225 | 216,510 | ||||||
|
|
|
|||||||
| 4,949,544 | ||||||||
| Security | Par (000) |
Value | ||||||
| Health Care - Services — 2.1% | ||||||||
|
Centene
Corp. |
$ | 1,315 | $ | 1,104,258 | ||||
|
3.38%, 02/15/30 (Call 02/15/25) |
655 | 552,675 | ||||||
|
Elevance
Health Inc. |
186 | 177,522 | ||||||
|
4.65%, 01/15/43 |
335 | 300,189 | ||||||
|
HCA
Inc. |
425 | 372,393 | ||||||
|
4.13%, 06/15/29 (Call 03/15/29) |
925 | 841,995 | ||||||
|
4.50%, 02/15/27 (Call 08/15/26) |
980 | 939,426 | ||||||
|
Humana
Inc. |
145 | 126,467 | ||||||
|
4.95%, 10/01/44 (Call 04/01/44) |
351 | 314,680 | ||||||
|
Laboratory
Corp. of America Holdings, |
173 | 147,738 | ||||||
|
Quest
Diagnostics Inc., 4.20%, 06/30/29 |
160 | 150,463 | ||||||
|
|
|
|||||||
| 5,027,806 | ||||||||
| Holding Companies - Diversified — 1.5% | ||||||||
|
Ares
Capital Corp. |
380 | 289,900 | ||||||
|
3.88%, 01/15/26 (Call 12/15/25) |
1,278 | 1,185,657 | ||||||
|
Blackstone
Secured Lending Fund |
465 | 375,498 | ||||||
|
3.63%, 01/15/26 (Call 12/15/25)(a) |
1,005 | 921,363 | ||||||
|
Goldman
Sachs BDC Inc., 2.88%, 01/15/26 |
420 | 386,853 | ||||||
|
Golub
Capital BDC Inc., 2.50%, 08/24/26 |
375 | 324,441 | ||||||
|
|
|
|||||||
| 3,483,712 | ||||||||
| Home Builders — 0.9% | ||||||||
|
Lennar Corp., 4.75%, 11/29/27 (Call 05/29/27) |
1,105 | 1,058,085 | ||||||
|
NVR Inc., 3.00%, 05/15/30 (Call 11/15/29) |
1,235 | 1,054,281 | ||||||
|
|
|
|||||||
| 2,112,366 | ||||||||
| Household Products & Wares — 0.0% | ||||||||
|
Avery
Dennison Corp., 4.88%, 12/06/28 |
100 | 97,800 | ||||||
|
|
|
|||||||
| Insurance — 4.1% | ||||||||
|
American
International Group Inc., Series A-9, |
1,010 | 974,650 | ||||||
|
Brown &
Brown Inc. |
435 | 334,768 | ||||||
|
4.20%, 03/17/32 (Call 12/17/31) |
350 | 306,113 | ||||||
|
CNA
Financial Corp., 3.90%, 05/01/29 |
165 | 151,452 | ||||||
|
Corebridge
Financial Inc. |
1,135 | 1,025,249 | ||||||
|
3.90%, 04/05/32 (Call 01/05/32)(d) |
420 | 367,505 | ||||||
|
Everest
Reinsurance Holdings Inc., |
915 | 644,714 | ||||||
|
Fairfax
Financial Holdings Ltd. |
380 | 311,516 | ||||||
|
5.63%, 08/16/32 (Call 05/16/32)(d) |
920 | 874,572 | ||||||
|
Fidelity
National Financial Inc. |
345 | 271,026 | ||||||
|
3.40%, 06/15/30 (Call 03/15/30)(a) |
415 | 357,058 | ||||||
|
First American Financial Corp., 2.40%, 08/15/31 (Call 05/15/31) |
380 | 283,697 | ||||||
|
Markel
Corp. |
360 | 246,705 | ||||||
|
5.00%, 05/20/49 (Call 11/20/48) |
165 | 147,277 | ||||||
|
Old
Republic International Corp., 3.85%, 06/11/51 |
435 | 310,583 | ||||||
|
S C H E D U L E O F I N V E S T M E N T S |
19 |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® Investment Grade Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security |
Par |
Value | ||||||
| Insurance (continued) | ||||||||
|
Prudential
Financial Inc. (5 year CMT + 3.035%)(b) |
$ | 650 | $ | 548,031 | ||||
|
5.38%,
05/15/45 (Call 05/15/25), |
1,245 | 1,208,497 | ||||||
|
Travelers
Companies Inc. (The), |
125 | 104,717 | ||||||
|
Willis
North America Inc. |
203 | 192,500 | ||||||
|
4.65%, 06/15/27 (Call 05/15/27) |
1,030 | 995,103 | ||||||
|
|
|
|||||||
| 9,655,733 | ||||||||
| Internet — 0.8% | ||||||||
|
Alphabet
Inc. |
1,360 | 822,967 | ||||||
|
2.25%, 08/15/60 (Call 02/15/60) |
315 | 182,710 | ||||||
|
Booking
Holdings Inc., 4.63%, 04/13/30 |
115 | 111,738 | ||||||
|
VeriSign Inc., 2.70%, 06/15/31 (Call 03/15/31) |
1,085 | 876,046 | ||||||
|
|
|
|||||||
| 1,993,461 | ||||||||
| Iron & Steel — 0.6% | ||||||||
|
ArcelorMittal
SA |
1,145 | 1,174,029 | ||||||
|
6.80%, 11/29/32 (Call 08/29/32) |
175 | 177,174 | ||||||
|
|
|
|||||||
| 1,351,203 | ||||||||
| Lodging — 0.4% | ||||||||
|
Marriott
International Inc./MD, Series FF, |
1,110 | 1,047,655 | ||||||
|
|
|
|||||||
| Machinery — 0.5% | ||||||||
|
Westinghouse Air Brake Technologies Corp., 4.95%, 09/15/28 (Call 06/15/28) |
1,110 | 1,071,169 | ||||||
|
|
|
|||||||
| Manufacturing — 0.9% | ||||||||
|
Carlisle
Companies Inc., 2.75%, 03/01/30 |
475 | 396,925 | ||||||
|
General
Electric Co. |
445 | 460,588 | ||||||
|
6.75%, 03/15/32(a) |
745 | 827,098 | ||||||
|
Textron Inc., 3.00%, 06/01/30 (Call 03/01/30) |
405 | 351,550 | ||||||
|
|
|
|||||||
| 2,036,161 | ||||||||
| Media — 0.7% | ||||||||
|
Comcast Corp., 2.99%, 11/01/63 (Call 05/01/63) |
580 | 354,465 | ||||||
|
FactSet
Research Systems Inc., 3.45%, 03/01/32 |
55 | 46,224 | ||||||
|
Fox
Corp. |
55 | 52,519 | ||||||
|
5.48%, 01/25/39 (Call 07/25/38) |
1,150 | 1,056,820 | ||||||
|
Walt Disney Co. (The), 6.65%, 11/15/37 |
190 | 215,353 | ||||||
|
|
|
|||||||
| 1,725,381 | ||||||||
| Mining — 1.3% | ||||||||
|
Freeport-McMoRan
Inc., 4.63%, 08/01/30 |
1,075 | 992,060 | ||||||
|
Newmont
Corp., 4.88%, 03/15/42 |
748 | 681,354 | ||||||
|
Southern
Copper Corp. |
35 | 32,727 | ||||||
|
5.88%, 04/23/45(a) |
678 | 681,929 | ||||||
|
6.75%, 04/16/40 |
515 | 560,125 | ||||||
|
|
|
|||||||
| 2,948,195 | ||||||||
| Office & Business Equipment — 0.6% | ||||||||
|
CDW
LLC/CDW Finance Corp. |
170 | 150,976 | ||||||
|
3.28%, 12/01/28 (Call 10/01/28) |
365 | 314,428 | ||||||
| Security |
Par |
Value | ||||||
| Office & Business Equipment (continued) | ||||||||
|
3.57%, 12/01/31 (Call 09/01/31) |
$ | 1,200 | $ | 990,472 | ||||
|
|
|
|||||||
| 1,455,876 | ||||||||
| Oil & Gas — 1.9% | ||||||||
|
BP
Capital Markets PLC, 4.38%, (Call 06/22/25), |
1,215 | 1,158,371 | ||||||
|
Canadian
Natural Resources Ltd., |
1,250 | 1,173,730 | ||||||
|
Coterra
Energy Inc., 3.90%, 05/15/27 |
545 | 510,778 | ||||||
|
Pioneer
Natural Resources Co., 2.15%, 01/15/31 |
540 | 425,866 | ||||||
|
Valero Energy Corp., 6.63%, 06/15/37 |
1,055 | 1,119,289 | ||||||
|
|
|
|||||||
| 4,388,034 | ||||||||
| Packaging & Containers — 0.5% | ||||||||
|
Amcor
Finance USA Inc., 3.63%, 04/28/26 |
349 | 329,402 | ||||||
|
Amcor
Flexibles North America Inc., |
1,068 | 866,883 | ||||||
|
|
|
|||||||
| 1,196,285 | ||||||||
| Pharmaceuticals — 4.7% | ||||||||
|
AbbVie
Inc. |
640 | 612,165 | ||||||
|
4.50%, 05/14/35 (Call 11/14/34) |
527 | 489,160 | ||||||
|
4.70%, 05/14/45 (Call 11/14/44) |
440 | 389,525 | ||||||
|
4.85%, 06/15/44 (Call 12/15/43) |
110 | 100,003 | ||||||
|
AmerisourceBergen
Corp., 2.70%, 03/15/31 |
1,185 | 984,934 | ||||||
|
AstraZeneca PLC, 6.45%, 09/15/37 |
965 | 1,090,742 | ||||||
|
Becton
Dickinson and Co., 3.70%, 06/06/27 |
686 | 647,769 | ||||||
|
Cigna
Group (The) |
215 | 201,317 | ||||||
|
4.38%, 10/15/28 (Call 07/15/28) |
1,210 | 1,161,847 | ||||||
|
4.80%, 08/15/38 (Call 02/15/38) |
55 | 50,659 | ||||||
|
4.80%, 07/15/46 (Call 01/16/46) |
1,070 | 945,006 | ||||||
|
4.90%, 12/15/48 (Call 06/15/48) |
45 | 40,473 | ||||||
|
CVS
Health Corp. |
405 | 357,630 | ||||||
|
4.30%, 03/25/28 (Call 12/25/27) |
1,200 | 1,147,203 | ||||||
|
4.78%, 03/25/38 (Call 09/25/37) |
1,039 | 943,867 | ||||||
|
5.13%, 07/20/45 (Call 01/20/45) |
217 | 195,970 | ||||||
|
Johnson &
Johnson, 2.25%, 09/01/50 |
1,230 | 781,030 | ||||||
|
Shire Acquisitions Investments Ireland DAC, 3.20%, 09/23/26 (Call 06/23/26) |
855 | 795,908 | ||||||
|
Takeda
Pharmaceutical Co. Ltd., 4.40%, 11/26/23 |
67 | 66,354 | ||||||
|
Zoetis Inc., 4.70%, 02/01/43 (Call 08/01/42) |
205 | 184,904 | ||||||
|
|
|
|||||||
| 11,186,466 | ||||||||
| Pipelines — 8.0% | ||||||||
|
Boardwalk
Pipelines LP |
460 | 390,087 | ||||||
|
3.60%, 09/01/32 (Call 06/01/32) |
290 | 243,443 | ||||||
|
Cheniere
Corpus Christi Holdings LLC |
215 | 193,621 | ||||||
|
5.13%, 06/30/27 (Call 01/01/27) |
1,185 | 1,169,127 | ||||||
|
Cheniere
Energy Inc., 4.63%, 10/15/28 |
1,140 | 1,056,791 | ||||||
|
Cheniere
Energy Partners LP |
170 | 146,480 | ||||||
|
4.50%, 10/01/29 (Call 10/01/24) |
1,180 | 1,070,862 | ||||||
| 20 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® Investment Grade Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Pipelines (continued) | ||||||||
|
Enbridge
Inc. (3 mo. LIBOR US + 3.418%)(b) |
$ | 990 | $ | 914,576 | ||||
|
6.25%,
03/01/78 (Call 03/01/28), |
985 | 911,787 | ||||||
|
Energy
Transfer LP |
805 | 775,246 | ||||||
|
5.25%, 04/15/29 (Call 01/15/29) |
1,125 | 1,097,187 | ||||||
|
Enterprise
Products Operating LLC |
505 | 448,498 | ||||||
|
5.10%, 02/15/45 (Call 08/15/44) |
365 | 334,080 | ||||||
|
Series
E, 5.25%, 08/16/77 (Call 08/16/27), |
1,415 | 1,263,453 | ||||||
|
Kinder
Morgan Inc. |
1,050 | 1,001,502 | ||||||
|
5.30%, 12/01/34 (Call 06/01/34) |
331 | 310,439 | ||||||
|
MPLX
LP |
245 | 201,027 | ||||||
|
4.50%, 04/15/38 (Call 10/15/37) |
1,220 | 1,040,920 | ||||||
|
ONEOK
Inc. |
285 | 241,779 | ||||||
|
3.40%, 09/01/29 (Call 06/01/29) |
575 | 498,865 | ||||||
|
4.55%, 07/15/28 (Call 04/15/28) |
825 | 783,767 | ||||||
|
Targa
Resources Corp., 4.88%, 02/01/31 |
1,655 | 1,502,856 | ||||||
|
TransCanada
PipeLines Ltd. |
260 | 237,154 | ||||||
|
4.63%, 03/01/34 (Call 12/01/33) |
195 | 177,697 | ||||||
|
7.63%, 01/15/39 |
528 | 609,221 | ||||||
|
Transcanada
Trust, 5.30%, 03/15/77 |
835 | 736,887 | ||||||
|
Williams
Companies Inc. (The) |
650 | 626,953 | ||||||
|
6.30%, 04/15/40 |
852 | 874,025 | ||||||
|
|
|
|||||||
| 18,858,330 | ||||||||
| Real Estate Investment Trusts — 6.9% | ||||||||
|
American
Homes 4 Rent LP |
320 | 270,348 | ||||||
|
4.25%, 02/15/28 (Call 11/15/27) |
260 | 242,795 | ||||||
|
American
Tower Corp. |
172 | 159,881 | ||||||
|
3.55%, 07/15/27 (Call 04/15/27) |
175 | 161,752 | ||||||
|
3.80%, 08/15/29 (Call 05/15/29) |
1,303 | 1,174,609 | ||||||
|
4.00%, 06/01/25 (Call 03/01/25) |
310 | 300,122 | ||||||
|
Crown
Castle International Corp. |
10 | 8,709 | ||||||
|
3.65%, 09/01/27 (Call 06/01/27) |
45 | 41,864 | ||||||
|
3.70%, 06/15/26 (Call 03/15/26) |
115 | 108,863 | ||||||
|
3.80%, 02/15/28 (Call 11/15/27) |
235 | 218,245 | ||||||
|
4.45%, 02/15/26 (Call 11/15/25) |
560 | 544,495 | ||||||
|
CubeSmart
LP, 2.25%, 12/15/28 |
355 | 296,598 | ||||||
|
Digital
Realty Trust LP |
1,135 | 1,051,013 | ||||||
|
4.45%, 07/15/28 (Call 04/15/28) |
296 | 278,902 | ||||||
|
Equinix
Inc. |
1,010 | 806,878 | ||||||
|
3.20%, 11/18/29 (Call 08/18/29) |
446 | 388,782 | ||||||
|
GLP
Capital LP/GLP Financing II Inc. |
35 | 27,802 | ||||||
|
5.25%, 06/01/25 (Call 03/01/25) |
490 | 479,714 | ||||||
|
5.30%, 01/15/29 (Call 10/15/28) |
910 | 860,760 | ||||||
| Security | Par (000) |
Value | ||||||
| Real Estate Investment Trusts (continued) | ||||||||
|
Healthpeak
Properties Interim Inc. |
$ | 320 | $ | 299,610 | ||||
|
3.50%, 07/15/29 (Call 04/15/29) |
195 | 173,696 | ||||||
|
Host
Hotels & Resorts LP, Series I, |
1,005 | 835,408 | ||||||
|
Invitation
Homes Operating Partnership LP |
515 | 386,300 | ||||||
|
2.30%, 11/15/28 (Call 09/15/28)(a) |
355 | 293,565 | ||||||
|
4.15%, 04/15/32 (Call 01/15/32)(a) |
345 | 303,486 | ||||||
|
Physicians
Realty LP, 2.63%, 11/01/31 |
325 | 259,510 | ||||||
|
Sun
Communities Operating LP |
880 | 702,049 | ||||||
|
4.20%, 04/15/32 (Call 01/15/32) |
620 | 549,997 | ||||||
|
Ventas Realty LP, 4.40%, 01/15/29 (Call 10/15/28) |
945 | 879,284 | ||||||
|
VICI
Properties LP |
380 | 365,708 | ||||||
|
4.75%, 02/15/28 (Call 01/15/28) |
1,165 | 1,098,979 | ||||||
|
Welltower
OP LLC |
125 | 101,222 | ||||||
|
3.10%, 01/15/30 (Call 10/15/29) |
1,035 | 883,848 | ||||||
|
3.85%, 06/15/32 (Call 03/15/32) |
175 | 152,120 | ||||||
|
4.25%, 04/15/28 (Call 01/15/28) |
426 | 402,227 | ||||||
|
Weyerhaeuser
Co., 4.00%, 11/15/29 |
960 | 874,093 | ||||||
|
WP Carey Inc., 2.40%, 02/01/31 (Call 11/01/30)(a) |
360 | 290,227 | ||||||
|
|
|
|||||||
| 16,273,461 | ||||||||
| Retail — 1.9% | ||||||||
|
Best Buy Co. Inc., 4.45%, 10/01/28 (Call 07/01/28) |
205 | 196,304 | ||||||
|
Dick’s
Sporting Goods Inc. |
1,005 | 793,785 | ||||||
|
4.10%, 01/15/52 (Call 07/15/51) |
525 | 348,554 | ||||||
|
Dollar Tree Inc., 4.20%, 05/15/28 (Call 02/15/28) |
1,180 | 1,122,065 | ||||||
|
McDonald’s
Corp. |
280 | 265,033 | ||||||
|
4.88%, 12/09/45 (Call 06/09/45) |
175 | 159,404 | ||||||
|
O’Reilly
Automotive Inc. |
180 | 166,699 | ||||||
|
4.35%, 06/01/28 (Call 03/01/28) |
145 | 139,685 | ||||||
|
Walgreens
Boots Alliance Inc. |
848 | 795,968 | ||||||
|
4.80%, 11/18/44 (Call 05/18/44) |
495 | 410,028 | ||||||
|
|
|
|||||||
| 4,397,525 | ||||||||
| Semiconductors — 4.0% | ||||||||
|
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 (Call 10/15/26) |
686 | 646,996 | ||||||
|
Broadcom
Inc. |
940 | 846,258 | ||||||
|
4.75%, 04/15/29 (Call 01/15/29) |
559 | 534,666 | ||||||
|
5.00%, 04/15/30 (Call 01/15/30)(a) |
437 | 419,525 | ||||||
|
Marvell
Technology Inc. |
165 | 147,700 | ||||||
|
2.45%, 04/15/28 (Call 02/15/28) |
510 | 436,277 | ||||||
|
2.95%, 04/15/31 (Call 01/15/31) |
955 | 768,422 | ||||||
|
Microchip
Technology Inc., 4.25%, 09/01/25 |
930 | 900,583 | ||||||
|
Micron
Technology Inc. |
1,105 | 1,016,318 | ||||||
|
5.33%, 02/06/29 (Call 11/06/28) |
295 | 288,172 | ||||||
|
6.75%, 11/01/29 (Call 09/01/29) |
105 | 108,503 | ||||||
|
NXP
BV/NXP Funding LLC, 5.55%, 12/01/28 |
315 | 314,768 | ||||||
|
S C H E D U L E O F I N V E S T M E N T S |
21 |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® Investment Grade Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Semiconductors (continued) | ||||||||
|
NXP
BV/NXP Funding LLC/NXP USA Inc. |
$ | 270 | $ | 233,660 | ||||
|
4.30%, 06/18/29 (Call 03/18/29) |
1,025 | 945,853 | ||||||
|
Qorvo
Inc. |
225 | 208,510 | ||||||
|
4.38%, 10/15/29 (Call 10/15/24) |
1,130 | 1,007,610 | ||||||
|
Skyworks
Solutions Inc. |
312 | 274,692 | ||||||
|
3.00%, 06/01/31 (Call 03/01/31) |
320 | 258,780 | ||||||
|
|
|
|||||||
| 9,357,293 | ||||||||
| Shipbuilding — 0.4% | ||||||||
|
Huntington
Ingalls Industries Inc. |
380 | 312,339 | ||||||
|
3.48%, 12/01/27 (Call 09/01/27) |
89 | 81,353 | ||||||
|
3.84%, 05/01/25 (Call 04/01/25) |
361 | 346,763 | ||||||
|
4.20%, 05/01/30 (Call 02/01/30) |
290 | 264,704 | ||||||
|
|
|
|||||||
| 1,005,159 | ||||||||
| Software — 3.6% | ||||||||
|
Broadridge
Financial Solutions Inc. |
465 | 376,442 | ||||||
|
2.90%, 12/01/29 (Call 09/01/29) |
170 | 143,526 | ||||||
|
Fiserv
Inc. |
605 | 582,496 | ||||||
|
4.20%, 10/01/28 (Call 07/01/28) |
1,100 | 1,033,344 | ||||||
|
Oracle
Corp. |
780 | 665,600 | ||||||
|
3.90%, 05/15/35 (Call 11/15/34) |
245 | 203,459 | ||||||
|
4.30%, 07/08/34 (Call 01/08/34) |
1,145 | 1,005,369 | ||||||
|
5.38%, 07/15/40 |
1,245 | 1,140,402 | ||||||
|
6.25%, 11/09/32 (Call 08/09/32) |
795 | 827,363 | ||||||
|
Roper
Technologies Inc., 4.20%, 09/15/28 |
1,005 | 959,765 | ||||||
|
VMware
Inc. |
1,196 | 1,116,696 | ||||||
|
4.50%, 05/15/25 (Call 04/15/25) |
385 | 377,197 | ||||||
|
|
|
|||||||
| 8,431,659 | ||||||||
| Telecommunications — 5.5% | ||||||||
|
AT&T
Inc. |
1,185 | 1,063,748 | ||||||
|
5.15%, 02/15/50 (Call 08/14/49) |
280 | 258,294 | ||||||
|
5.25%, 03/01/37 (Call 09/01/36) |
575 | 553,177 | ||||||
|
5.65%, 02/15/47 (Call 08/15/46)(a) |
655 | 640,102 | ||||||
|
Deutsche Telekom International Finance BV, 8.75%, 06/15/30 |
1,001 | 1,186,389 | ||||||
|
Juniper
Networks Inc., 3.75%, 08/15/29 |
160 | 142,881 | ||||||
|
Motorola
Solutions Inc. |
345 | 269,863 | ||||||
|
4.60%, 05/23/29 (Call 02/23/29) |
855 | 804,613 | ||||||
|
Orange SA, 9.00%, 03/01/31 |
868 | 1,062,418 | ||||||
|
Rogers
Communications Inc., 3.80%, 03/15/32 |
1,360 | 1,187,931 | ||||||
|
T-Mobile USA Inc. 2.55%,
02/15/31 |
690 | 563,153 | ||||||
| Security | Par/ Shares (000) |
Value | ||||||
| Telecommunications (continued) | ||||||||
|
3.60%, 11/15/60 (Call 05/15/60) |
$ | 155 | $ | 103,009 | ||||
|
3.75%, 04/15/27 (Call 02/15/27) |
915 | 860,224 | ||||||
|
3.88%, 04/15/30 (Call 01/15/30) |
1,272 | 1,153,382 | ||||||
|
4.38%, 04/15/40 (Call 10/15/39) |
300 | 254,933 | ||||||
|
4.50%, 04/15/50 (Call 10/15/49) |
90 | 74,658 | ||||||
|
Verizon
Communications Inc. |
455 | 401,614 | ||||||
|
4.40%, 11/01/34 (Call 05/01/34) |
438 | 398,159 | ||||||
|
4.50%, 08/10/33 |
197 | 183,095 | ||||||
|
5.25%, 03/16/37 |
755 | 737,197 | ||||||
|
Vodafone
Group PLC |
180 | 169,059 | ||||||
|
6.15%, 02/27/37 |
960 | 993,201 | ||||||
|
|
|
|||||||
| 13,061,100 | ||||||||
| Transportation — 0.4% | ||||||||
|
CH Robinson Worldwide Inc., 4.20%, 04/15/28 (Call 01/15/28) |
175 | 165,958 | ||||||
|
United Parcel Service Inc., 6.20%, 01/15/38 |
800 | 884,543 | ||||||
|
|
|
|||||||
| 1,050,501 | ||||||||
|
|
|
|||||||
|
Total
Long-Term Investments — 98.1% |
230,940,279 | |||||||
|
|
|
|||||||
|
Short-Term Securities |
||||||||
| Money Market Funds — 6.4% | ||||||||
|
BlackRock Cash Funds: Institutional, SL Agency Shares, 4.81%(e)(f)(g) |
13,110 | 13,118,282 | ||||||
|
BlackRock Cash Funds: Treasury, SL Agency Shares, 4.41%(e)(f) |
2,043 | 2,043,000 | ||||||
|
|
|
|||||||
|
Total
Short-Term Securities — 6.4% |
15,161,282 | |||||||
|
|
|
|||||||
|
Total
Investments — 104.5% |
246,101,561 | |||||||
|
Liabilities in Excess of Other Assets — (4.5)% |
(10,641,758 | ) | ||||||
|
|
|
|||||||
|
Net Assets — 100.0% |
$ | 235,459,803 | ||||||
|
|
|
|||||||
| (a) |
All or a portion of this security is on loan. |
| (b) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| (c) |
Perpetual security with no stated maturity date. |
| (d) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (e) |
Affiliate of the Fund. |
| (f) |
Annualized 7-day yield as of period end. |
| (g) |
All or a portion of this security was purchased with the cash collateral from loaned securities. |
| 22 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® Investment Grade Bond Factor ETF |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
|
||||||||||||||||||||||||||||||||||||
| Affiliated Issuer | Value
at 02/28/22 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 02/28/23 |
Shares Held at 02/28/23 (000) |
Income |
Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
|
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 3,424,264 | $ | 9,690,267 | (a) | $ | — | $ | 85 | $ | 3,666 | $ | 13,118,282 | 13,110 | $ | 17,132 | (b) | $ | — | |||||||||||||||||
|
BlackRock Cash Funds: Treasury, SL Agency Shares |
2,373,000 | — | (330,000 | )(a) | — | — | 2,043,000 | 2,043 | 33,449 | 1 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 85 | $ | 3,666 | $ | 15,161,282 | $ | 50,581 | $ | 1 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) |
Represents net amount purchased (sold). |
| (b) |
All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
|
||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
|
||||||||||||||||
|
Assets |
||||||||||||||||
|
Investments |
||||||||||||||||
|
Long-Term Investments |
||||||||||||||||
|
Corporate Bonds & Notes |
$ | — | $ | 230,940,279 | $ | — | $ | 230,940,279 | ||||||||
|
Short-Term Securities |
||||||||||||||||
|
Money Market Funds |
15,161,282 | — | — | 15,161,282 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 15,161,282 | $ | 230,940,279 | $ | — | $ | 246,101,561 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See notes to financial statements.
|
S C H E D U L E O F I N V E S T M E N T S |
23 |
|
Schedule of Investments February 28, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
|
Collaterized Mortgage Obligations |
| |||||||
| Mortgage-Backed Securities — 1.5% | ||||||||
|
Bank, Series 2017, Class A5, 3.44%, 09/15/60 (Call 09/15/27) |
$ | 40 | $ | 36,950 | ||||
|
COMM Mortgage Trust, 2.87%, 08/15/57 (Call 11/15/29) |
50 | 45,668 | ||||||
|
GS Mortgage Securities Trust, 2.91%, 02/13/53 (Call 01/13/30) |
75 | 64,893 | ||||||
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A4, 3.72%, 07/15/50 (Call 06/15/25) |
25 | 23,931 | ||||||
|
Wells Fargo Commercial Mortgage Trust, 3.79%, 12/15/49 (Call 12/15/26) |
10 | 9,429 | ||||||
|
|
|
|||||||
| 180,871 | ||||||||
|
|
|
|||||||
|
Total
Collaterized Mortgage Obligations — 1.5% |
180,871 | |||||||
|
|
|
|||||||
|
Corporate Bonds & Notes |
| |||||||
| Advertising — 0.0% | ||||||||
|
Advantage Sales & Marketing Inc., 6.50%, 11/15/28 (Call 11/15/23)(a) |
2 | 1,528 | ||||||
|
|
|
|||||||
| Aerospace & Defense — 1.2% | ||||||||
|
Boeing
Co. (The) |
45 | 40,876 | ||||||
|
4.88%, 05/01/25 (Call 04/01/25) |
10 | 9,860 | ||||||
|
5.15%, 05/01/30 (Call 02/01/30) |
15 | 14,515 | ||||||
|
5.93%, 05/01/60 (Call 11/01/59) |
15 | 14,007 | ||||||
|
Bombardier Inc., 7.88%, 04/15/27 (Call 04/15/23)(a) |
3 | 2,981 | ||||||
|
General Dynamics Corp., 3.25%, 04/01/25 (Call 03/01/25) |
10 | 9,630 | ||||||
|
L3Harris Technologies Inc. 4.40%, 06/15/28 (Call 03/15/28) |
15 | 14,480 | ||||||
|
Northrop Grumman Corp., 4.75%, 06/01/43 |
5 | 4,575 | ||||||
|
Raytheon
Technologies Corp. |
10 | 9,718 | ||||||
|
4.88%, 10/15/40 |
15 | 14,002 | ||||||
|
Rolls-Royce
PLC, 5.75%, 10/15/27 |
5 | 4,827 | ||||||
|
Spirit AeroSystems Inc., 9.38%, 11/30/29 (Call 11/30/25)(a) |
2 | 2,113 | ||||||
|
TransDigm Inc., 6.25%, 03/15/26 (Call 03/15/23)(a) |
2 | 1,973 | ||||||
|
Triumph Group Inc., 7.75%, 08/15/25 (Call 08/15/23)(b) |
2 | 1,915 | ||||||
|
|
|
|||||||
| 145,472 | ||||||||
| Agriculture — 0.8% | ||||||||
|
Altria
Group Inc. |
10 | 8,616 | ||||||
|
5.38%, 01/31/44 |
10 | 8,723 | ||||||
|
5.80%, 02/14/39 (Call 08/14/38) |
10 | 9,216 | ||||||
|
BAT
Capital Corp. |
5 | 4,819 | ||||||
|
3.56%, 08/15/27 (Call 05/15/27) |
10 | 9,107 | ||||||
|
4.91%, 04/02/30 (Call 01/02/30) |
5 | 4,618 | ||||||
|
BAT International Finance PLC, 4.45%, 03/16/28 |
||||||||
|
(Call 02/16/28) |
10 | 9,349 | ||||||
|
Philip
Morris International Inc. |
10 | 9,678 | ||||||
|
3.38%, 08/15/29 (Call 05/15/29) |
5 | 4,499 | ||||||
|
5.00%, 11/17/25 |
10 | 9,941 | ||||||
|
6.38%, 05/16/38 |
10 | 10,551 | ||||||
|
Reynolds
American Inc. |
5 | 4,546 | ||||||
|
5.85%, 08/15/45 (Call 02/12/45) |
10 | 8,583 | ||||||
|
Vector
Group Ltd., 5.75%, 02/01/29 |
2 | 1,721 | ||||||
|
|
|
|||||||
| 103,967 | ||||||||
| Airlines — 0.1% | ||||||||
|
Air Canada, 3.88%, 08/15/26 (Call 02/15/26)(a) |
3 | 2,703 | ||||||
| Security | Par (000) |
Value | ||||||
| Airlines (continued) | ||||||||
|
Allegiant
Travel Co., 7.25%, 08/15/27 |
$ | 2 | $ | 1,965 | ||||
|
American Airlines Inc., 11.75%, 07/15/25(a) |
3 | 3,290 | ||||||
|
Delta
Air Lines Inc., 7.38%, 01/15/26 |
3 | 3,087 | ||||||
|
|
|
|||||||
| 11,045 | ||||||||
| Auto Manufacturers — 1.1% | ||||||||
|
Ford Motor Co., 5.29%, 12/08/46 (Call 06/08/46) |
2 | 1,565 | ||||||
|
Ford Motor Credit Co. LLC, 4.13%, 08/04/25 |
5 | 4,707 | ||||||
|
General
Motors Financial Co. Inc. |
20 | 18,943 | ||||||
|
6.05%, 10/10/25 |
5 | 5,041 | ||||||
|
Honda Motor Co. Ltd., 2.27%, 03/10/25 (Call 02/10/25) |
30 | 28,328 | ||||||
|
Jaguar
Land Rover Automotive PLC |
4 | 3,348 | ||||||
|
5.50%, 07/15/29 (Call 07/15/24)(a) |
2 | 1,598 | ||||||
|
PACCAR Financial Corp., 4.95%, 10/03/25 |
15 | 14,971 | ||||||
|
Toyota
Motor Credit Corp. |
20 | 18,720 | ||||||
|
3.00%, 04/01/25 |
10 | 9,571 | ||||||
|
3.95%, 06/30/25 |
10 | 9,758 | ||||||
|
4.80%, 01/10/25 |
15 | 14,921 | ||||||
|
|
|
|||||||
| 131,471 | ||||||||
| Auto Parts & Equipment — 0.1% | ||||||||
|
Aptiv PLC/Aptiv Corp., 3.25%, 03/01/32 (Call 12/01/31) |
15 | 12,517 | ||||||
|
|
|
|||||||
| Banks — 11.8% | ||||||||
|
Bank
of America Corp. |
||||||||
|
(3 mo. LIBOR US + 0.810%)(c) |
20 | 19,144 | ||||||
|
3.97%, 03/05/29 (Call 03/05/28), |
||||||||
|
(3 mo. LIBOR US + 1.070%)(c) |
10 | 9,284 | ||||||
|
4.20%, 08/26/24 |
60 | 58,840 | ||||||
|
5.13%, (Call 06/20/24), (3 mo. LIBOR US + 3.292%)(c) |
50 | 48,565 | ||||||
|
Series L, 3.95%, 04/21/25 |
10 | 9,693 | ||||||
|
Bank
of Montreal |
15 | 13,977 | ||||||
|
3.70%, 06/07/25 |
15 | 14,504 | ||||||
|
Bank
of New York Mellon Corp. (The) |
15 | 14,199 | ||||||
|
3.35%, 04/25/25 (Call 03/25/25) |
20 | 19,246 | ||||||
|
Series F, 4.63%, (Call 09/20/26), |
||||||||
|
(3 mo. LIBOR US + 3.131%)(c) |
10 | 9,100 | ||||||
|
Bank
of Nova Scotia (The) |
5 | 4,677 | ||||||
|
3.45%, 04/11/25 |
40 | 38,413 | ||||||
|
Canadian
Imperial Bank of Commerce |
10 | 9,318 | ||||||
|
3.95%, 08/04/25 |
5 | 4,844 | ||||||
|
Citigroup Inc. 2.01%, 01/25/26 (Call 01/25/25), (1 day SOFR + 0.694%)(c) |
15 | 13,989 | ||||||
|
4.14%, 05/24/25 (Call 05/24/24), (1 day SOFR + 1.372%)(c) |
5 | 4,908 | ||||||
|
4.40%, 06/10/25 |
55 | 53,814 | ||||||
|
Deutsche Bank AG/New York NY, 1.00%, 04/01/25 |
||||||||
|
(Call 04/01/24), (1 day SOFR + 1.131%)(c) |
150 | 141,992 | ||||||
|
Fifth Third Bancorp., 4.77%, 07/28/30 (Call 07/28/29), (1 day SOFR + 2.127%)(c) |
||||||||
| 15 | 14,380 | |||||||
|
Goldman Sachs Group Inc. (The) 0.86%, 02/12/26 (Call 02/12/25), (1 day SOFR + 0.609%)(c) |
30 | 27,238 | ||||||
|
3.27%,
09/29/25 (Call 09/29/24), |
||||||||
| 10 | 9,614 | |||||||
|
5.70%, 11/01/24 |
30 | 30,177 | ||||||
| 24 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Banks (continued) | ||||||||
|
HSBC Holdings PLC, 0.98%, 05/24/25 (Call 05/24/24), |
||||||||
|
(1 day SOFR + 0.708%)(c) |
$ | 200 | $ | 188,137 | ||||
|
Huntington Bancshares Inc. 2.49%, 08/15/36 (Call 08/15/31), (5 year CMT + 1.170%)(c) |
10 | 7,362 | ||||||
|
4.44%, 08/04/28 (Call 08/04/27), (1 day SOFR + 1.970%)(c) |
15 | 14,328 | ||||||
|
Intesa Sanpaolo SpA 4.95%, 06/01/42 (Call 06/01/41), (1 year CMT + 2.750%)(a)(c) |
2 | 1,340 | ||||||
|
5.71%, 01/15/26(a) |
5 | 4,786 | ||||||
|
JPMorgan Chase & Co. 1.95%, 02/04/32 (Call 02/04/31), (1 day SOFR + 1.065%)(c) |
20 | 15,531 | ||||||
|
2.01%, 03/13/26 (Call 03/13/25), (3 mo. SOFR + 1.585%)(c) |
40 | 37,205 | ||||||
|
2.30%, 10/15/25 (Call 10/15/24), (1 day SOFR + 1.160%)(c) |
25 | 23,645 | ||||||
|
3.85%, 06/14/25 (Call 06/14/24), (1 day SOFR + 0.980%)(c) |
10 | 9,761 | ||||||
|
5.00%,
(Call 08/01/24), |
10 | 9,712 | ||||||
|
5.55%, 12/15/25 (Call 12/15/24), (1 day SOFR + 1.070%)(c) |
50 | 49,938 | ||||||
|
Series HH, 4.60%, (Call 02/01/25), |
||||||||
|
(3 mo. SOFR + 3.125%)(c) |
25 | 23,191 | ||||||
|
Series II, 4.00%, (Call 04/01/25), (3 mo. SOFR + 2.745%)(c) |
5 | 4,476 | ||||||
|
Mitsubishi
UFJ Financial Group Inc. |
55 | 53,869 | ||||||
|
3.78%, 03/02/25 |
30 | 29,049 | ||||||
|
Morgan Stanley 3.62%,
04/17/25 (Call 04/17/24), |
10 | 9,769 | ||||||
|
3.77%, 01/24/29 (Call 01/24/28), |
||||||||
|
(3 mo. LIBOR US + 1.140%)(c) |
60 | 55,392 | ||||||
|
4.00%, 07/23/25 |
10 | 9,745 | ||||||
|
4.43%, 01/23/30 (Call 01/23/29), |
||||||||
|
(3 mo. LIBOR US + 1.628%)(c) |
10 | 9,414 | ||||||
|
5.00%, 11/24/25 |
40 | 39,585 | ||||||
|
PNC
Financial Services Group Inc. (The) |
10 | 9,541 | ||||||
|
5.67%, 10/28/25 (Call 10/28/24), (1 day SOFR + 1.090%)(c) |
35 | 35,132 | ||||||
|
Royal
Bank of Canada |
20 | 19,036 | ||||||
|
3.38%, 04/14/25 |
20 | 19,238 | ||||||
|
4.88%, 01/12/26 |
30 | 29,732 | ||||||
|
Toronto-Dominion
Bank (The) |
5 | 4,660 | ||||||
|
1.45%, 01/10/25 |
30 | 28,004 | ||||||
|
3.77%, 06/06/25 |
5 | 4,828 | ||||||
|
Truist Financial Corp., 4.00%, 05/01/25 (Call 03/01/25) |
50 | 48,725 | ||||||
|
U.S.
Bancorp. |
20 | 18,453 | ||||||
|
5.30%, (Call 04/15/27), (3 mo. LIBOR US + 2.914%)(c) |
10 | 9,020 | ||||||
|
Wells Fargo & Co. 2.41%, 10/30/25 (Call 10/30/24), (1 day SOFR + 1.087%)(c) |
10 | 9,485 | ||||||
|
2.88%,
10/30/30 (Call 10/30/29), |
15 | 12,782 | ||||||
|
3.20%, 06/17/27 (Call 06/17/26), |
||||||||
|
(3 mo. LIBOR US + 1.170%)(c) |
20 | 18,555 | ||||||
|
3.55%, 09/29/25 |
25 | 23,927 | ||||||
|
5.90%, (Call 06/15/24), (3 mo. LIBOR US + 3.110%)(c) |
10 | 9,784 | ||||||
|
Westpac Banking Corp., 1.02%, 11/18/24 |
10 | 9,320 | ||||||
|
|
|
|||||||
| 1,476,373 | ||||||||
| Beverages — 0.6% | ||||||||
|
Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc., 4.70%, 02/01/36 (Call 08/01/35) |
15 | 14,079 | ||||||
|
Anheuser-Busch
InBev Worldwide Inc. |
10 | 9,578 | ||||||
|
8.20%, 01/15/39 |
5 | 6,226 | ||||||
|
Constellation Brands Inc., 3.60%, 05/09/24 |
10 | 9,797 | ||||||
| Security | Par (000) |
Value | ||||||
| Beverages (continued) | ||||||||
|
Keurig
Dr Pepper Inc. |
$ | 6 | $ | 5,882 | ||||
|
4.60%, 05/25/28 (Call 02/25/28) |
10 | 9,704 | ||||||
|
PepsiCo Inc., 2.25%, 03/19/25 (Call 02/19/25) |
20 | 18,949 | ||||||
|
|
|
|||||||
| 74,215 | ||||||||
| Biotechnology — 0.8% | ||||||||
|
Amgen
Inc. |
5 | 4,773 | ||||||
|
4.40%, 05/01/45 (Call 11/01/44) |
10 | 8,362 | ||||||
|
Biogen
Inc. |
20 | 16,192 | ||||||
|
4.05%, 09/15/25 (Call 06/15/25) |
5 | 4,841 | ||||||
|
Bio-Rad Laboratories Inc., 3.70%, 03/15/32 (Call 12/15/31) |
10 | 8,721 | ||||||
|
Gilead
Sciences Inc. |
5 | 4,912 | ||||||
|
4.80%, 04/01/44 (Call 10/01/43) |
20 | 18,423 | ||||||
|
Grifols Escrow Issuer SA, 4.75%, 10/15/28 (Call 10/15/24)(a) |
4 | 3,420 | ||||||
|
Illumina Inc., 2.55%, 03/23/31 (Call 12/23/30) |
5 | 3,997 | ||||||
|
Regeneron Pharmaceuticals Inc., 1.75%, 09/15/30 |
||||||||
|
(Call 06/15/30) |
15 | 11,678 | ||||||
|
Royalty
Pharma PLC |
20 | 17,907 | ||||||
|
3.35%, 09/02/51 (Call 03/02/51) |
5 | 3,111 | ||||||
|
|
|
|||||||
| 106,337 | ||||||||
| Building Materials — 0.2% | ||||||||
|
Builders FirstSource Inc., 6.38%, 06/15/32 (Call 06/15/27)(a) |
2 | 1,921 | ||||||
|
Carrier Global Corp., 2.24%, 02/15/25 (Call 01/15/25) |
7 | 6,574 | ||||||
|
Eagle Materials Inc., 2.50%, 07/01/31 (Call 04/01/31) |
20 | 15,661 | ||||||
|
|
|
|||||||
| 24,156 | ||||||||
| Chemicals — 0.7% | ||||||||
|
Albemarle Corp., 5.05%, 06/01/32 (Call 03/01/32) |
5 | 4,752 | ||||||
|
CVR Partners LP/CVR Nitrogen Finance Corp., 6.13%, 06/15/28 (Call 06/15/24)(a) |
||||||||
| 2 | 1,777 | |||||||
|
Dow Chemical Co. (The), 5.55%, 11/30/48 (Call 05/30/48) |
5 | 4,796 | ||||||
|
DuPont de Nemours Inc. |
||||||||
|
4.49%, 11/15/25 (Call 09/25/25) |
5 | 4,914 | ||||||
|
5.32%, 11/15/38 (Call 05/15/38) |
5 | 4,853 | ||||||
|
EverArc Escrow Sarl, 5.00%, 10/30/29 (Call 10/30/24)(a) |
3 | 2,387 | ||||||
|
Huntsman International LLC, 4.50%, 05/01/29 (Call 02/01/29) |
15 | 13,666 | ||||||
|
LYB International Finance BV, 4.88%, 03/15/44 (Call 09/15/43) |
5 | 4,234 | ||||||
|
LYB International Finance III LLC, 1.25%, 10/01/25 |
||||||||
|
(Call 09/01/25) |
20 | 17,902 | ||||||
|
LyondellBasell Industries NV, 4.63%, 02/26/55 (Call 08/26/54) |
10 | 7,964 | ||||||
|
Rain CII Carbon LLC/CII Carbon Corp., 7.25%, 04/01/25 (Call 04/01/23)(a) |
||||||||
| 2 | 1,904 | |||||||
|
Sherwin-Williams Co. (The), 4.05%, 08/08/24 |
20 | 19,601 | ||||||
|
|
|
|||||||
| 88,750 | ||||||||
| Coal — 0.0% | ||||||||
|
SunCoke Energy Inc., 4.88%, 06/30/29 (Call 06/30/24)(a) |
2 | 1,698 | ||||||
|
|
|
|||||||
| Commercial Services — 0.5% | ||||||||
|
ADT Security Corp. (The) 4.13%, 08/01/29 (Call 08/01/28)(a) |
3 | 2,581 | ||||||
|
4.88%, 07/15/32(a) |
2 | 1,715 | ||||||
|
Block Financial LLC, 5.25%, 10/01/25 (Call 07/01/25) |
10 | 9,883 | ||||||
|
Cimpress PLC, 7.00%, 06/15/26 (Call 06/15/23) |
3 | 2,224 | ||||||
|
Deluxe Corp., 8.00%, 06/01/29 (Call 06/01/24)(a) |
2 | 1,669 | ||||||
|
Equifax Inc., 2.35%, 09/15/31 (Call 06/15/31) |
10 | 7,882 | ||||||
|
NESCO Holdings II Inc., 5.50%, 04/15/29 (Call 04/15/24)(a) |
2 | 1,783 | ||||||
|
S C H E D U L E O F I N V E S T M E N T S |
25 |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Commercial Services (continued) | ||||||||
|
Quanta Services Inc., 2.90%, 10/01/30 (Call 07/01/30) |
$ | 20 | $ | 16,553 | ||||
|
Ritchie Bros. Auctioneers Inc., 5.38%, 01/15/25 |
||||||||
|
(Call 03/31/23)(a) |
2 | 2,000 | ||||||
|
Sabre
GLBL Inc., 7.38%, 09/01/25 |
3 | 2,808 | ||||||
|
United
Rentals North America Inc., |
||||||||
| 2 | 1,906 | |||||||
|
Verisk Analytics Inc., 4.00%, 06/15/25 (Call 03/15/25) |
10 | 9,677 | ||||||
|
ZipRecruiter
Inc., |
2 | 1,680 | ||||||
|
|
|
|||||||
| 62,361 | ||||||||
| Computers — 1.8% | ||||||||
|
Apple
Inc. |
20 | 18,032 | ||||||
|
2.40%, 08/20/50 (Call 02/20/50) |
10 | 6,343 | ||||||
|
2.75%, 01/13/25 (Call 11/13/24) |
40 | 38,431 | ||||||
|
Conduent
Business Services LLC/Conduent State & Local Solutions
Inc., |
||||||||
| 2 | 1,631 | |||||||
|
Hewlett
Packard Enterprise Co. |
5 | 4,958 | ||||||
|
6.35%, 10/15/45 (Call 04/15/45) |
5 | 4,929 | ||||||
|
HP
Inc. |
15 | 12,802 | ||||||
|
4.20%, 04/15/32 (Call 01/15/32) |
5 | 4,300 | ||||||
|
6.00%, 09/15/41 |
5 | 4,892 | ||||||
|
International Business Machines Corp., 3.00%, 05/15/24 |
100 | 97,219 | ||||||
|
Leidos
Inc. |
5 | 3,898 | ||||||
|
4.38%, 05/15/30 (Call 02/15/30) |
15 | 13,744 | ||||||
|
Teledyne FLIR LLC, 2.50%, 08/01/30 (Call 05/01/30) |
5 | 4,069 | ||||||
|
Western Digital Corp., 4.75%, 02/15/26 (Call 11/15/25) |
5 | 4,721 | ||||||
|
|
|
|||||||
| 219,969 | ||||||||
| Cosmetics & Personal Care — 0.1% | ||||||||
|
Colgate-Palmolive Co., 3.10%, 08/15/25 |
15 | 14,409 | ||||||
|
Coty Inc., 5.00%, 04/15/26 (Call 04/15/23)(a) |
2 | 1,902 | ||||||
|
Coty
Inc./HFC Prestige Products Inc./HFC Prestige International U.S.
LLC, |
||||||||
| 2 | 1,801 | |||||||
|
|
|
|||||||
| 18,112 | ||||||||
| Diversified Financial Services — 1.8% | ||||||||
|
Air Lease Corp., 3.38%, 07/01/25 (Call 06/01/25) |
10 | 9,429 | ||||||
|
Ally Financial Inc., 3.88%, 05/21/24 (Call 04/21/24) |
10 | 9,791 | ||||||
|
American
Express Co. |
5 | 4,703 | ||||||
|
3.38%, 05/03/24 |
30 | 29,314 | ||||||
|
3.55%,
(Call 09/15/26), |
15 | 12,734 | ||||||
|
Ameriprise Financial Inc., 3.00%, 04/02/25 (Call 03/02/25) |
10 | 9,565 | ||||||
|
Burford
Capital Global Finance LLC, |
||||||||
| 2 | 1,726 | |||||||
|
Capital One Financial Corp., 4.25%, 04/30/25 (Call 03/31/25) |
20 | 19,478 | ||||||
|
Charles Schwab Corp. (The), 3.63%, 04/01/25 (Call 01/01/25) |
10 | 9,691 | ||||||
|
Coinbase Global Inc., 3.38%, 10/01/28 (Call 10/01/24)(a) |
2 | 1,310 | ||||||
|
Discover Financial Services, 4.10%, 02/09/27 (Call 11/09/26) |
50 | 47,378 | ||||||
|
Enact Holdings Inc., 6.50%, 08/15/25 (Call 02/15/25)(a) |
3 | 2,948 | ||||||
|
goeasy Ltd., 5.38%, 12/01/24 (Call 12/01/23)(a) |
2 | 1,905 | ||||||
|
LD
Holdings Group LLC |
2 | 1,185 | ||||||
|
6.50%, 11/01/25 (Call 11/01/23)(a) |
2 | 1,480 | ||||||
|
Nationstar
Mortgage Holdings Inc., |
3 | 2,324 | ||||||
|
OneMain
Finance Corp. |
2 | 1,952 | ||||||
| Security | Par (000) |
Value | ||||||
| Diversified Financial Services (continued) | ||||||||
|
7.13%, 03/15/26 |
$ | 2 | $ | 1,944 | ||||
|
PennyMac Financial Services Inc., 5.75%, 09/15/31 |
||||||||
|
(Call 09/15/26)(a) |
2 | 1,594 | ||||||
|
Radian Group Inc., 4.50%, 10/01/24 (Call 07/01/24) |
20 | 19,564 | ||||||
|
Raymond James Financial Inc., 4.95%, 07/15/46 |
10 | 9,118 | ||||||
|
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., 3.88%, 03/01/31 (Call 03/01/26)(a) |
3 | 2,338 | ||||||
|
SLM Corp., 3.13%, 11/02/26 (Call 10/02/26) |
2 | 1,725 | ||||||
|
Synchrony Financial, 4.25%, 08/15/24 (Call 05/15/24) |
10 | 9,758 | ||||||
|
Visa Inc., 3.15%, 12/14/25 (Call 09/14/25) |
10 | 9,545 | ||||||
|
|
|
|||||||
| 222,499 | ||||||||
| Electric — 3.5% | ||||||||
|
Avangrid
Inc. |
5 | 4,751 | ||||||
|
3.80%, 06/01/29 (Call 03/01/29) |
15 | 13,575 | ||||||
|
Berkshire Hathaway Energy Co., 4.05%, 04/15/25 |
||||||||
|
(Call 03/15/25) |
10 | 9,781 | ||||||
|
Connecticut
Light & Power Co. (The), |
||||||||
| 15 | 12,582 | |||||||
|
Dominion
Energy Inc. |
10 | 8,673 | ||||||
|
Series A, 3.30%, 03/15/25 (Call 02/15/25) |
15 | 14,342 | ||||||
|
Series B, 4.65%, (Call 12/15/24), (5 year CMT + 2.993%)(c) |
10 | 9,225 | ||||||
|
DTE Electric Co., Series A, 1.90%, 04/01/28 (Call 02/01/28) |
10 | 8,610 | ||||||
|
DTE Energy Co., 4.22%, 11/01/24(d) |
5 | 4,890 | ||||||
|
Duke
Energy Carolinas LLC |
10 | 8,380 | ||||||
|
3.20%, 08/15/49 (Call 02/15/49) |
10 | 7,069 | ||||||
|
Duke Energy Corp., 3.15%, 08/15/27 (Call 05/15/27) |
20 | 18,389 | ||||||
|
Duke Energy Indiana LLC, 2.75%, 04/01/50 (Call 10/01/49) |
10 | 6,266 | ||||||
|
Edison International, 4.70%, 08/15/25 |
15 | 14,620 | ||||||
|
Emera U.S. Finance LP, 4.75%, 06/15/46 (Call 12/15/45) |
15 | 11,786 | ||||||
|
Entergy
Corp. |
10 | 8,891 | ||||||
|
1.90%, 06/15/28 (Call 04/15/28) |
10 | 8,476 | ||||||
|
Entergy Louisiana LLC, 4.00%, 03/15/33 (Call 12/15/32) |
20 | 18,012 | ||||||
|
Evergy
Inc. |
20 | 19,040 | ||||||
|
2.90%, 09/15/29 (Call 06/15/29) |
15 | 12,838 | ||||||
|
Exelon Corp., 4.05%, 04/15/30 (Call 01/15/30) |
15 | 13,757 | ||||||
|
FirstEnergy Corp., Series C, 3.40%, 03/01/50 (Call 09/01/49) |
3 | 2,027 | ||||||
|
Florida
Power & Light Co. |
15 | 12,334 | ||||||
|
3.95%, 03/01/48 (Call 09/01/47) |
10 | 8,177 | ||||||
|
Fortis Inc./Canada, 3.06%, 10/04/26 (Call 07/04/26) |
20 | 18,571 | ||||||
|
Kentucky Utilities Co., 3.30%, 06/01/50 (Call 12/01/49) |
5 | 3,531 | ||||||
|
National Rural Utilities Cooperative Finance Corp., 5.45%, 10/30/25 |
15 | 15,055 | ||||||
|
NextEra
Energy Capital Holdings Inc. |
10 | 9,810 | ||||||
|
4.45%, 06/20/25 |
25 | 24,463 | ||||||
|
NRG Energy Inc., 5.75%, 01/15/28 (Call 01/15/24) |
3 | 2,828 | ||||||
|
Oncor Electric Delivery Co. LLC, 3.10%, 09/15/49 |
||||||||
|
(Call 03/15/49) |
10 | 7,028 | ||||||
|
Pacific Gas and Electric Co., 4.95%, 06/08/25 |
10 | 9,795 | ||||||
|
PG&E Corp., 5.00%, 07/01/28 (Call 07/01/23) |
3 | 2,739 | ||||||
|
Public Service Co. of Colorado, 1.88%, 06/15/31 (Call 12/15/30) |
10 | 7,917 | ||||||
|
Public Service Electric & Gas Co., 3.10%, 03/15/32 |
||||||||
|
(Call 12/15/31) |
5 | 4,353 | ||||||
| 26 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Electric (continued) | ||||||||
|
San Diego Gas & Electric Co., Series WWW, 2.95%, 08/15/51 (Call 02/15/51) |
||||||||
| $ | 10 | $ | 6,627 | |||||
|
Sempra
Energy |
10 | 9,223 | ||||||
|
3.40%, 02/01/28 (Call 10/01/27) |
15 | 13,736 | ||||||
|
Southern
Co. (The) |
5 | 4,662 | ||||||
|
4.40%, 07/01/46 (Call 01/01/46) |
15 | 12,344 | ||||||
|
5.15%, 10/06/25 |
10 | 9,960 | ||||||
|
Union Electric Co., 2.63%, 03/15/51 (Call 09/15/50) |
10 | 6,373 | ||||||
|
Vistra Operations Co. LLC, 5.50%, 09/01/26 (Call 09/01/23)(a) |
2 | 1,910 | ||||||
|
Wisconsin Public Service Corp., 5.35%, 11/10/25 |
||||||||
|
(Call 10/10/25) |
10 | 10,025 | ||||||
|
|
|
|||||||
| 437,441 | ||||||||
| Electrical Components & Equipment — 0.0% | ||||||||
|
Energizer Holdings Inc., 4.38%, 03/31/29 (Call 09/30/23)(a) |
3 | 2,543 | ||||||
|
|
|
|||||||
| Electronics — 0.2% | ||||||||
|
Honeywell International Inc., 1.35%, 06/01/25 (Call 05/01/25) |
20 | 18,459 | ||||||
|
TD
SYNNEX Corp. |
5 | 4,302 | ||||||
|
2.38%, 08/09/28 (Call 06/09/28) |
5 | 4,124 | ||||||
|
|
|
|||||||
| 26,885 | ||||||||
| Energy - Alternate Sources — 0.0% | ||||||||
|
Enviva Partners LP/Enviva Partners Finance Corp., 6.50%, 01/15/26 (Call 11/15/23)(a) |
2 | 1,875 | ||||||
|
|
|
|||||||
| Engineering & Construction — 0.0% | ||||||||
|
AECOM, 5.13%, 03/15/27 (Call 12/15/26) |
3 | 2,869 | ||||||
|
|
|
|||||||
| Entertainment — 0.1% | ||||||||
|
AMC Entertainment Holdings Inc., 7.50%, 02/15/29 |
||||||||
|
(Call 02/15/25)(a) |
2 | 1,198 | ||||||
|
Live Nation Entertainment Inc., 6.50%, 05/15/27 |
||||||||
|
(Call 05/15/23)(a) |
3 | 2,950 | ||||||
|
Odeon Finco PLC, 12.75%, 11/01/27 (Call 11/01/24)(a) |
2 | 1,871 | ||||||
|
Universal Entertainment Corp., 8.50%, 12/11/24 |
||||||||
|
(Call 12/11/23)(a) |
3 | 2,818 | ||||||
|
|
|
|||||||
| 8,837 | ||||||||
| Environmental Control — 0.1% | ||||||||
|
GFL Environmental Inc., 3.50%, 09/01/28 (Call 03/01/28)(a) |
2 | 1,747 | ||||||
|
Republic Services Inc., 3.95%, 05/15/28 (Call 02/15/28) |
5 | 4,736 | ||||||
|
|
|
|||||||
| 6,483 | ||||||||
| Food — 0.8% | ||||||||
|
Campbell
Soup Co. |
10 | 9,737 | ||||||
|
4.15%, 03/15/28 (Call 12/15/27) |
15 | 14,322 | ||||||
|
Conagra
Brands Inc. |
5 | 4,891 | ||||||
|
4.85%, 11/01/28 (Call 08/01/28) |
5 | 4,844 | ||||||
|
5.30%, 11/01/38 (Call 05/01/38) |
10 | 9,322 | ||||||
|
General Mills Inc., 4.00%, 04/17/25 (Call 02/17/25) |
10 | 9,737 | ||||||
|
Pilgrim’s Pride Corp., 4.25%, 04/15/31 (Call 04/15/26) |
20 | 16,700 | ||||||
|
Sysco
Corp. |
20 | 20,732 | ||||||
|
6.60%, 04/01/50 (Call 10/01/49) |
5 | 5,487 | ||||||
|
Tyson Foods Inc., 3.95%, 08/15/24 (Call 05/15/24) |
5 | 4,898 | ||||||
|
|
|
|||||||
| 100,670 | ||||||||
| Security | Par (000) |
Value | ||||||
| Gas — 0.3% | ||||||||
|
AmeriGas
Partners LP/AmeriGas Finance Corp., |
$ | 3 | $ | 2,775 | ||||
|
National Fuel Gas Co., 2.95%, 03/01/31 (Call 12/01/30) |
5 | 3,974 | ||||||
|
NiSource
Inc. |
5 | 4,508 | ||||||
|
3.60%, 05/01/30 (Call 02/01/30) |
10 | 8,927 | ||||||
|
4.38%, 05/15/47 (Call 11/15/46) |
15 | 12,537 | ||||||
|
|
|
|||||||
| 32,721 | ||||||||
| Hand & Machine Tools — 0.1% | ||||||||
|
Stanley Black & Decker Inc., 2.30%, 02/24/25 (Call 03/31/23) |
10 | 9,432 | ||||||
|
|
|
|||||||
| Health Care - Products — 0.9% | ||||||||
|
Abbott Laboratories, 2.95%, 03/15/25 (Call 12/15/24) |
5 | 4,803 | ||||||
|
Baxter International Inc., 1.32%, 11/29/24 |
10 | 9,314 | ||||||
|
DENTSPLY SIRONA Inc., 3.25%, 06/01/30 (Call 03/01/30) |
15 | 12,779 | ||||||
|
Edwards Lifesciences Corp., 4.30%, 06/15/28 (Call 03/15/28) |
10 | 9,581 | ||||||
|
PerkinElmer
Inc. |
5 | 3,877 | ||||||
|
3.30%, 09/15/29 (Call 06/15/29) |
15 | 12,963 | ||||||
|
Smith & Nephew PLC, 2.03%, 10/14/30 (Call 07/14/30) |
25 | 19,613 | ||||||
|
Thermo Fisher Scientific Inc., 1.22%, 10/18/24 (Call 03/31/23) |
10 | 9,371 | ||||||
|
Zimmer
Biomet Holdings Inc. |
15 | 12,156 | ||||||
|
3.55%, 04/01/25 (Call 01/01/25) |
15 | 14,434 | ||||||
|
|
|
|||||||
| 108,891 | ||||||||
| Health Care - Services — 0.9% | ||||||||
|
Centene Corp., 4.63%, 12/15/29 (Call 12/15/24) |
30 | 27,435 | ||||||
|
CHS/Community
Health Systems Inc., |
||||||||
| 4 | 2,798 | |||||||
|
DaVita
Inc. |
2 | 1,510 | ||||||
|
4.63%, 06/01/30 (Call 06/01/25)(a) |
2 | 1,648 | ||||||
|
Elevance
Health Inc. |
5 | 4,733 | ||||||
|
5.35%, 10/15/25 (Call 09/15/25) |
10 | 10,010 | ||||||
|
HCA
Inc. |
10 | 8,762 | ||||||
|
5.38%, 02/01/25 |
5 | 4,953 | ||||||
|
Humana Inc., 4.95%, 10/01/44 (Call 04/01/44) |
5 | 4,483 | ||||||
|
Laboratory
Corp. of America Holdings, |
||||||||
| 15 | 14,467 | |||||||
|
UnitedHealth Group Inc. 3.75%, 07/15/25 |
10 | 9,702 | ||||||
|
5.00%, 10/15/24 |
20 | 19,981 | ||||||
|
|
|
|||||||
| 110,482 | ||||||||
| Holding Companies - Diversified — 1.0% | ||||||||
|
Ares
Capital Corp. |
50 | 46,387 | ||||||
|
4.20%, 06/10/24 (Call 05/10/24) |
25 | 24,463 | ||||||
|
Blackstone Secured Lending Fund, 3.63%, 01/15/26 |
||||||||
|
(Call 12/15/25) |
30 | 27,504 | ||||||
|
Goldman Sachs BDC Inc., 2.88%, 01/15/26 (Call 12/15/25) |
10 | 9,211 | ||||||
|
Golub Capital BDC Inc., 2.50%, 08/24/26 (Call 07/24/26) |
10 | 8,652 | ||||||
|
Icahn
Enterprises LP/Icahn Enterprises Finance Corp. |
2 | 1,850 | ||||||
|
6.25%, 05/15/26 (Call 05/15/23) |
2 | 1,940 | ||||||
|
|
|
|||||||
| 120,007 | ||||||||
|
S C H E D U L E O F I N V E S T M E N T S |
27 |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Home Builders — 0.2% | ||||||||
|
Brookfield Residential Properties Inc./Brookfield Residential U.S. LLC |
||||||||
|
4.88%, 02/15/30 (Call 02/15/25)(a) |
$ | 2 | $ | 1,504 | ||||
|
6.25%, 09/15/27 (Call 09/15/23)(a) |
2 | 1,744 | ||||||
|
Lennar Corp., 4.75%, 11/29/27 (Call 05/29/27) |
15 | 14,363 | ||||||
|
NVR Inc., 3.00%, 05/15/30 (Call 11/15/29) |
15 | 12,805 | ||||||
|
|
|
|||||||
| 30,416 | ||||||||
| Housewares — 0.0% | ||||||||
|
Newell Brands Inc., 5.75%, 04/01/46 (Call 10/01/45) |
2 | 1,606 | ||||||
|
|
|
|||||||
| Insurance — 1.2% | ||||||||
|
American
International Group Inc. |
13 | 12,237 | ||||||
|
Series A-9, 5.75%, 04/01/48 (Call 04/01/28), |
||||||||
|
(3 mo. LIBOR US + 2.868%)(c) |
10 | 9,650 | ||||||
|
Brown &
Brown Inc. |
5 | 3,848 | ||||||
|
4.20%, 03/17/32 (Call 12/17/31) |
5 | 4,373 | ||||||
|
Corebridge
Financial Inc. |
10 | 9,331 | ||||||
|
3.85%, 04/05/29 (Call 02/05/29)(a) |
20 | 18,066 | ||||||
|
Everest
Reinsurance Holdings Inc., |
||||||||
| 10 | 7,046 | |||||||
|
Fairfax Financial Holdings Ltd., 5.63%, 08/16/32 |
||||||||
|
(Call 05/16/32)(a) |
20 | 19,012 | ||||||
|
Fidelity
National Financial Inc. |
5 | 3,928 | ||||||
|
3.40%, 06/15/30 (Call 03/15/30) |
5 | 4,302 | ||||||
|
First American Financial Corp., 2.40%, 08/15/31 (Call 05/15/31) |
5 | 3,733 | ||||||
|
Markel Corp., 3.45%, 05/07/52 (Call 11/07/51) |
5 | 3,427 | ||||||
|
MetLife Inc., 3.60%, 04/10/24 |
10 | 9,783 | ||||||
|
Old Republic International Corp., 3.85%, 06/11/51 |
||||||||
|
(Call 12/11/50) |
5 | 3,570 | ||||||
|
Prudential Financial Inc. 3.70%, 10/01/50 (Call 07/01/30), (5 year CMT + 3.035%)(c) |
10 | 8,431 | ||||||
|
5.38%, 05/15/45 (Call 05/15/25), |
||||||||
|
(3 mo. LIBOR US + 3.031%)(c) |
15 | 14,560 | ||||||
|
Willis North America Inc., 4.65%, 06/15/27 (Call 05/15/27) |
20 | 19,322 | ||||||
|
|
|
|||||||
| 154,619 | ||||||||
| Internet — 0.5% | ||||||||
|
Alphabet
Inc. |
20 | 12,102 | ||||||
|
2.25%, 08/15/60 (Call 02/15/60) |
5 | 2,900 | ||||||
|
Amazon.com
Inc. |
10 | 9,461 | ||||||
|
3.00%, 04/13/25 |
25 | 24,074 | ||||||
|
Gen Digital Inc., 5.00%, 04/15/25 (Call 03/13/23)(a) |
2 | 1,943 | ||||||
|
GrubHub Holdings Inc., 5.50%, 07/01/27 (Call 07/01/23)(a) |
2 | 1,580 | ||||||
|
Uber Technologies Inc., 7.50%, 09/15/27 (Call 09/15/23)(a) |
2 | 2,028 | ||||||
|
VeriSign Inc., 2.70%, 06/15/31 (Call 03/15/31) |
15 | 12,111 | ||||||
|
|
|
|||||||
| 66,199 | ||||||||
| Iron & Steel — 0.2% | ||||||||
|
ArcelorMittal SA, 6.55%, 11/29/27 (Call 10/29/27) |
20 | 20,507 | ||||||
|
Cleveland-Cliffs Inc., 5.88%, 06/01/27 (Call 06/01/23) |
3 | 2,911 | ||||||
|
Mineral Resources Ltd., 8.50%, 05/01/30 (Call 05/01/25)(a) |
2 | 2,003 | ||||||
|
U.S.
Steel Corp., 6.88%, 03/01/29 |
2 | 2,001 | ||||||
|
|
|
|||||||
| 27,422 | ||||||||
| Leisure Time — 0.2% | ||||||||
|
Brunswick Corp., 0.85%, 08/18/24 (Call 03/31/23) |
10 | 9,319 | ||||||
| Security | Par (000) |
Value | ||||||
| Leisure Time (continued) | ||||||||
|
Carnival
Corp. |
$ | 3 | $ | 2,693 | ||||
|
10.50%, 02/01/26 (Call 08/01/23)(a) |
2 | 2,070 | ||||||
|
NCL Corp. Ltd., 5.88%, 02/15/27 (Call 02/15/24)(a) |
3 | 2,782 | ||||||
|
Royal
Caribbean Cruises Ltd. |
2 | 1,745 | ||||||
|
5.50%, 08/31/26 (Call 02/28/26)(a) |
2 | 1,838 | ||||||
|
Vista
Outdoor Inc., 4.50%, 03/15/29 |
2 | 1,623 | ||||||
|
|
|
|||||||
| 22,070 | ||||||||
| Lodging — 0.2% | ||||||||
|
Marriott International Inc./MD |
||||||||
|
Series EE, 5.75%, 05/01/25 (Call 04/01/25) |
5 | 5,039 | ||||||
|
Series FF, 4.63%, 06/15/30 (Call 03/15/30) |
15 | 14,157 | ||||||
|
Travel + Leisure Co., 4.50%, 12/01/29 (Call 09/01/29)(a) |
2 | 1,680 | ||||||
|
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, 03/01/25 (Call 12/01/24)(a) |
2 | 1,941 | ||||||
|
|
|
|||||||
| 22,817 | ||||||||
| Machinery — 0.9% | ||||||||
|
Caterpillar
Financial Services Corp. |
20 | 18,660 | ||||||
|
4.90%, 01/17/25 |
10 | 9,956 | ||||||
|
John
Deere Capital Corp. |
20 | 18,651 | ||||||
|
2.13%, 03/07/25 |
10 | 9,437 | ||||||
|
4.05%, 09/08/25 |
15 | 14,690 | ||||||
|
Otis Worldwide Corp., 2.06%, 04/05/25 (Call 03/05/25) |
10 | 9,329 | ||||||
|
Vertiv
Group Corp., 4.13%, 11/15/28 |
2 | 1,737 | ||||||
|
Westinghouse
Air Brake Technologies Corp. |
10 | 9,414 | ||||||
|
4.95%, 09/15/28 (Call 06/15/28) |
20 | 19,300 | ||||||
|
|
|
|||||||
| 111,174 | ||||||||
| Manufacturing — 0.2% | ||||||||
|
3M Co., 2.65%, 04/15/25 (Call 03/15/25) |
10 | 9,473 | ||||||
|
LSB
Industries Inc., 6.25%, 10/15/28 |
2 | 1,820 | ||||||
|
Parker-Hannifin Corp., 3.65%, 06/15/24 |
20 | 19,551 | ||||||
|
|
|
|||||||
| 30,844 | ||||||||
| Media — 0.7% | ||||||||
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 01/15/34 (Call 01/15/28)(a) |
5 | 3,743 | ||||||
|
Comcast
Corp. |
5 | 3,056 | ||||||
|
3.38%, 02/15/25 (Call 11/15/24) |
10 | 9,658 | ||||||
|
3.95%, 10/15/25 (Call 08/15/25) |
10 | 9,723 | ||||||
|
5.25%, 11/07/25 |
20 | 20,101 | ||||||
|
Directv Financing LLC/Directv Financing Co-Obligor Inc., 5.88%, 08/15/27 (Call 08/15/23)(a) |
2 | 1,788 | ||||||
|
Fox Corp., 5.48%, 01/25/39 (Call 07/25/38) |
15 | 13,784 | ||||||
|
GCI LLC, 4.75%, 10/15/28 (Call 10/15/23)(a) |
2 | 1,715 | ||||||
|
UPC Broadband Finco BV, 4.88%, 07/15/31 (Call 07/15/26)(a) |
5 | 4,187 | ||||||
|
Walt
Disney Co. (The) |
20 | 19,324 | ||||||
|
6.65%, 11/15/37 |
5 | 5,667 | ||||||
|
|
|
|||||||
| 92,746 | ||||||||
| Mining — 0.5% | ||||||||
|
Arconic Corp., 6.13%, 02/15/28 (Call 02/15/24)(a) |
2 | 1,965 | ||||||
|
Eldorado Gold Corp., 6.25%, 09/01/29 (Call 09/01/24)(a) |
2 | 1,769 | ||||||
|
Endeavour Mining PLC, 5.00%, 10/14/26 (Call 10/14/23)(a) |
2 | 1,680 | ||||||
|
First
Quantum Minerals Ltd. |
2 | 1,908 | ||||||
| 28 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security |
Par |
Value | ||||||
| Mining (continued) | ||||||||
|
7.50%, 04/01/25 (Call 04/01/23)(a) |
$ | 4 | $ | 3,880 | ||||
|
Freeport-McMoRan Inc., 4.63%, 08/01/30 (Call 08/01/25) |
15 | 13,843 | ||||||
|
IAMGOLD Corp., 5.75%, 10/15/28 (Call 10/15/23)(a) |
2 | 1,490 | ||||||
|
Newmont Corp., 4.88%, 03/15/42 (Call 09/15/41) |
10 | 9,109 | ||||||
|
Southern
Copper Corp. |
15 | 14,515 | ||||||
|
5.88%, 04/23/45 |
15 | 15,087 | ||||||
|
Stillwater Mining Co., 4.50%, 11/16/29 (Call 11/16/25)(a) |
4 | 3,280 | ||||||
|
|
|
|||||||
| 68,526 | ||||||||
| Office & Business Equipment — 0.1% | ||||||||
|
CDW
LLC/CDW Finance Corp. |
5 | 4,307 | ||||||
|
3.57%, 12/01/31 (Call 09/01/31) |
15 | 12,381 | ||||||
|
|
|
|||||||
| 16,688 | ||||||||
| Oil & Gas — 1.3% | ||||||||
|
BP
Capital Markets PLC, |
||||||||
|
(5 year CMT + 4.036%)(c) |
20 | 19,068 | ||||||
|
California
Resources Corp., |
||||||||
| 2 | 2,015 | |||||||
|
Canadian
Natural Resources Ltd. |
5 | 4,901 | ||||||
|
3.85%, 06/01/27 (Call 03/01/27) |
20 | 18,780 | ||||||
|
Chevron Corp., 1.55%, 05/11/25 (Call 04/11/25) |
5 | 4,641 | ||||||
|
Chevron USA Inc., 0.69%, 08/12/25 (Call 07/12/25) |
10 | 9,023 | ||||||
|
CNX Resources Corp., 7.38%, 01/15/31 (Call 01/15/26)(a) |
2 | 1,905 | ||||||
|
Coterra Energy Inc., 3.90%, 05/15/27 (Call 02/15/27) |
10 | 9,372 | ||||||
|
Earthstone
Energy Holdings LLC, |
||||||||
| 2 | 1,916 | |||||||
|
Energean
PLC, 6.50%, 04/30/27 |
2 | 1,839 | ||||||
|
EQT Corp., 6.13%, 02/01/25 (Call 01/01/25) |
3 | 3,004 | ||||||
|
Exxon Mobil Corp., 2.99%, 03/19/25 (Call 02/19/25) |
10 | 9,601 | ||||||
|
Gulfport
Energy Operating Corp., |
||||||||
| 1 | 972 | |||||||
|
Harbour Energy PLC, 5.50%, 10/15/26 (Call 10/15/23)(a) |
2 | 1,850 | ||||||
|
Ithaca
Energy North Sea PLC, |
||||||||
| 3 | 2,951 | |||||||
|
Kosmos Energy Ltd., 7.50%, 03/01/28 (Call 03/01/24)(a) |
5 | 4,287 | ||||||
|
Marathon
Petroleum Corp., |
15 | 14,789 | ||||||
|
Matador Resources Co., 5.88%, 09/15/26 (Call 09/15/23) |
3 | 2,893 | ||||||
|
PBF
Holding Co. LLC/PBF Finance Corp. |
2 | 1,866 | ||||||
|
7.25%, 06/15/25 (Call 06/15/23) |
2 | 1,996 | ||||||
|
Pioneer
Natural Resources Co., |
||||||||
| 10 | 7,886 | |||||||
|
Shell
International Finance BV |
5 | 4,751 | ||||||
|
3.25%, 05/11/25 |
5 | 4,815 | ||||||
|
Talos Production Inc., 12.00%, 01/15/26 (Call 01/15/24) |
3 | 3,166 | ||||||
|
TotalEnergies
Capital International SA |
5 | 4,777 | ||||||
|
3.75%, 04/10/24 |
5 | 4,913 | ||||||
|
Valero Energy Corp., 6.63%, 06/15/37 |
15 | 15,914 | ||||||
|
|
|
|||||||
| 163,891 | ||||||||
| Oil & Gas Services — 0.1% | ||||||||
|
Archrock Partners LP/Archrock Partners Finance Corp., 6.88%, 04/01/27 (Call 04/01/23)(a) |
3 | 2,910 | ||||||
|
CGG SA, 8.75%, 04/01/27 (Call 04/01/24)(a) |
2 | 1,752 | ||||||
|
Enerflex Ltd., 9.00%, 10/15/27 (Call 10/15/24)(a) |
2 | 1,974 | ||||||
| Security |
Par |
Value | ||||||
| Oil & Gas Services (continued) | ||||||||
|
USA
Compression Partners LP/USA Compression Finance Corp. |
||||||||
| $ | 2 | $ | 1,917 | |||||
|
6.88%, 09/01/27 (Call 09/01/23) |
2 | 1,894 | ||||||
|
Weatherford
International Ltd., |
||||||||
| 3 | 2,996 | |||||||
|
|
|
|||||||
| 13,443 | ||||||||
| Packaging & Containers — 0.3% | ||||||||
|
Amcor
Flexibles North America Inc., |
||||||||
| 15 | 12,175 | |||||||
|
Ardagh
Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 3.25%,
09/01/28 |
||||||||
| 3 | 2,518 | |||||||
|
Berry
Global Inc., 5.63%, 07/15/27 |
2 | 1,925 | ||||||
|
Graham Packaging Co. Inc., 7.13%, 08/15/28 (Call 08/15/23)(a) |
2 | 1,720 | ||||||
|
WRKCo Inc., 3.75%, 03/15/25 (Call 01/15/25) |
15 | 14,492 | ||||||
|
|
|
|||||||
| 32,830 | ||||||||
| Pharmaceuticals — 2.5% | ||||||||
|
AbbVie
Inc. |
10 | 9,535 | ||||||
|
3.60%, 05/14/25 (Call 02/14/25) |
10 | 9,623 | ||||||
|
3.80%, 03/15/25 (Call 12/15/24) |
10 | 9,701 | ||||||
|
4.25%, 11/14/28 (Call 08/14/28) |
10 | 9,565 | ||||||
|
4.70%, 05/14/45 (Call 11/14/44) |
10 | 8,853 | ||||||
|
AmerisourceBergen Corp., 2.70%, 03/15/31 (Call 12/15/30) |
20 | 16,623 | ||||||
|
AstraZeneca
PLC |
5 | 4,801 | ||||||
|
6.45%, 09/15/37 |
10 | 11,303 | ||||||
|
Bausch
Health Americas Inc., |
||||||||
| 2 | 1,052 | |||||||
|
Bausch
Health Companies Inc. |
2 | 1,380 | ||||||
|
14.00%, 10/15/30 (Call 10/15/25)(a)(b) |
3 | 1,900 | ||||||
|
Becton
Dickinson and Co. |
20 | 19,489 | ||||||
|
3.70%, 06/06/27 (Call 03/06/27) |
15 | 14,164 | ||||||
|
Bristol-Myers Squibb Co., 2.90%, 07/26/24 (Call 06/26/24) |
5 | 4,846 | ||||||
|
Cardinal Health Inc., 3.08%, 06/15/24 (Call 04/15/24) |
10 | 9,684 | ||||||
|
Cigna
Group (The) |
30 | 28,806 | ||||||
|
4.80%, 07/15/46 (Call 01/16/46) |
15 | 13,248 | ||||||
|
CVS
Health Corp. |
10 | 9,032 | ||||||
|
3.88%, 07/20/25 (Call 04/20/25) |
10 | 9,688 | ||||||
|
4.10%, 03/25/25 (Call 01/25/25) |
10 | 9,794 | ||||||
|
4.30%, 03/25/28 (Call 12/25/27) |
20 | 19,120 | ||||||
|
4.78%, 03/25/38 (Call 09/25/37) |
15 | 13,627 | ||||||
|
Elanco Animal Health Inc., 6.65%, 08/28/28 (Call 05/28/28) |
2 | 1,910 | ||||||
|
GlaxoSmithKline Capital Inc., 3.63%, 05/15/25 |
5 | 4,852 | ||||||
|
Johnson & Johnson, 2.25%, 09/01/50 (Call 03/01/50) |
20 | 12,700 | ||||||
|
Merck & Co. Inc., 2.75%, 02/10/25 (Call 11/10/24) |
5 | 4,796 | ||||||
|
Novartis Capital Corp., 3.00%, 11/20/25 (Call 08/20/25) |
15 | 14,273 | ||||||
|
Pfizer Inc., 0.80%, 05/28/25 (Call 04/28/25) |
10 | 9,145 | ||||||
|
Shire
Acquisitions Investments Ireland DAC, |
||||||||
| 15 | 13,963 | |||||||
|
Zoetis Inc., 5.40%, 11/14/25 (Call 10/14/25) |
15 | 15,091 | ||||||
|
|
|
|||||||
| 312,564 | ||||||||
| Pipelines — 2.9% | ||||||||
|
Antero
Midstream Partners LP/Antero Midstream Finance Corp., |
3 | 2,832 | ||||||
|
S C H E D U L E O F I N V E S T M E N T S |
29 |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security |
Par |
Value | ||||||
| Pipelines (continued) | ||||||||
|
Boardwalk Pipelines LP, 3.60%, 09/01/32 (Call 06/01/32) |
$ | 5 | $ | 4,197 | ||||
|
Cheniere
Corpus Christi Holdings LLC, |
||||||||
| 30 | 30,100 | |||||||
|
Cheniere Energy Inc., 4.63%, 10/15/28 (Call 10/15/23) |
15 | 13,905 | ||||||
|
Cheniere
Energy Partners LP, |
20 | 18,150 | ||||||
|
Columbia
Pipeline Group Inc., |
10 | 9,774 | ||||||
|
Crestwood
Midstream Partners LP/Crestwood Midstream Finance Corp., |
||||||||
| 2 | 1,990 | |||||||
|
Enbridge
Inc. |
||||||||
|
(3 mo. LIBOR US + 3.418%)(c) |
15 | 13,857 | ||||||
|
6.25%, 03/01/78 (Call 03/01/28), |
||||||||
|
(3 mo. LIBOR US + 3.641%)(c) |
10 | 9,257 | ||||||
|
Energy
Transfer LP |
20 | 19,687 | ||||||
|
4.50%, 04/15/24 (Call 03/15/24) |
25 | 24,676 | ||||||
|
4.95%, 05/15/28 (Call 02/15/28) |
10 | 9,630 | ||||||
|
5.25%, 04/15/29 (Call 01/15/29) |
10 | 9,753 | ||||||
|
Enterprise
Products Operating LLC |
5 | 4,441 | ||||||
|
5.10%, 02/15/45 (Call 08/15/44) |
5 | 4,576 | ||||||
|
Series E, 5.25%, 08/16/77 (Call 08/16/27), |
||||||||
|
(3 mo. LIBOR US + 3.033%)(c) |
20 | 17,858 | ||||||
|
Holly Energy Partners LP/Holly Energy Finance Corp., 5.00%, 02/01/28 (Call 02/01/24)(a) |
2 | 1,815 | ||||||
|
Kinder
Morgan Inc. |
5 | 4,884 | ||||||
|
4.30%, 03/01/28 (Call 12/01/27) |
15 | 14,307 | ||||||
|
4.80%, 02/01/33 (Call 11/01/32) |
5 | 4,632 | ||||||
|
MPLX
LP |
15 | 12,798 | ||||||
|
4.88%, 12/01/24 (Call 09/01/24) |
10 | 9,864 | ||||||
|
New Fortress Energy Inc., 6.50%, 09/30/26 (Call 03/31/23)(a) |
2 | 1,830 | ||||||
|
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26 (Call 02/01/24)(a) |
2 | 1,910 | ||||||
|
ONEOK
Inc. |
5 | 4,242 | ||||||
|
3.40%, 09/01/29 (Call 06/01/29) |
10 | 8,676 | ||||||
|
4.55%, 07/15/28 (Call 04/15/28) |
10 | 9,500 | ||||||
|
Plains All American Pipeline LP/PAA Finance Corp., 4.65%, 10/15/25 (Call 07/15/25) |
10 | 9,756 | ||||||
|
Sabine Pass Liquefaction LLC, 5.63%, 03/01/25 (Call 12/01/24) |
10 | 9,988 | ||||||
|
Targa Resources Corp., 4.88%, 02/01/31 (Call 02/01/26) |
20 | 18,161 | ||||||
|
TransCanada
PipeLines Ltd. |
20 | 18,243 | ||||||
|
7.63%, 01/15/39 |
10 | 11,538 | ||||||
|
Williams
Companies Inc. (The) |
15 | 14,468 | ||||||
|
4.55%, 06/24/24 (Call 03/24/24) |
5 | 4,931 | ||||||
|
6.30%, 04/15/40 |
10 | 10,259 | ||||||
|
|
|
|||||||
| 366,485 | ||||||||
| Real Estate — 0.0% | ||||||||
|
Cushman &
Wakefield U.S. Borrower, LLC, |
||||||||
| 3 | 2,828 | |||||||
| Real Estate Investment Trusts — 2.6% | ||||||||
|
American
Homes 4 Rent LP, |
5 | 4,224 | ||||||
|
American
Tower Corp. |
5 | 4,125 | ||||||
|
2.40%, 03/15/25 (Call 02/15/25) |
20 | 18,775 | ||||||
| Security |
Par |
Value | ||||||
| Real Estate Investment Trusts (continued) | ||||||||
|
3.80%, 08/15/29 (Call 05/15/29) |
$ | 15 | $ | 13,522 | ||||
|
Apollo Commercial Real Estate Finance Inc., 4.63%, 06/15/29 (Call 06/15/24)(a) |
||||||||
| 2 | 1,543 | |||||||
|
AvalonBay Communities Inc., 3.50%, 11/15/25 (Call 08/15/25) |
15 | 14,328 | ||||||
|
Boston Properties LP, 3.20%, 01/15/25 (Call 10/15/24) |
15 | 14,325 | ||||||
|
Brixmor
Operating Partnership LP, |
||||||||
| 10 | 9,587 | |||||||
|
Brookfield
Property REIT Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco
LL, |
||||||||
| 2 | 1,841 | |||||||
|
Crown
Castle International Corp. |
15 | 13,931 | ||||||
|
4.45%, 02/15/26 (Call 11/15/25) |
5 | 4,862 | ||||||
|
CubeSmart LP, 2.25%, 12/15/28 (Call 10/15/28) |
5 | 4,177 | ||||||
|
Digital
Realty Trust LP |
10 | 8,847 | ||||||
|
3.70%, 08/15/27 (Call 05/15/27) |
5 | 4,630 | ||||||
|
Equinix
Inc. |
10 | 7,989 | ||||||
|
3.20%, 11/18/29 (Call 08/18/29)(b) |
10 | 8,717 | ||||||
|
GLP
Capital LP/GLP Financing II Inc. |
10 | 9,790 | ||||||
|
5.30%, 01/15/29 (Call 10/15/28) |
10 | 9,459 | ||||||
|
Healthpeak
Properties Interim Inc., |
||||||||
| 20 | 19,408 | |||||||
|
Host
Hotels & Resorts LP, Series I, |
||||||||
| 15 | 12,469 | |||||||
|
Invitation
Homes Operating Partnership LP |
10 | 8,269 | ||||||
|
4.15%, 04/15/32 (Call 01/15/32) |
5 | 4,398 | ||||||
|
MPT
Operating Partnership LP/MPT Finance Corp. |
2 | 1,495 | ||||||
|
5.00%, 10/15/27 (Call 09/07/23) |
2 | 1,641 | ||||||
|
Office Properties Income Trust, 4.50%, 02/01/25 (Call 11/01/24) |
3 | 2,760 | ||||||
|
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 5.88%, 10/01/28 (Call 10/01/23)(a) |
||||||||
| 3 | 2,668 | |||||||
|
Physicians Realty LP, 2.63%, 11/01/31 (Call 08/01/31) |
5 | 3,993 | ||||||
|
RLJ Lodging Trust LP, 4.00%, 09/15/29 (Call 09/15/24)(a) |
2 | 1,648 | ||||||
|
Service Properties Trust, 4.75%, 10/01/26 (Call 08/01/26) |
2 | 1,735 | ||||||
|
Simon
Property Group LP |
10 | 9,510 | ||||||
|
3.38%, 06/15/27 (Call 03/15/27) |
10 | 9,307 | ||||||
|
Sun
Communities Operating LP |
15 | 11,967 | ||||||
|
4.20%, 04/15/32 (Call 01/15/32) |
5 | 4,435 | ||||||
|
Uniti
Group LP/Uniti Fiber Holdings Inc./CSL Capital LLC,
7.88%, 02/15/25 |
2 | 2,039 | ||||||
|
Uniti
Group LP/Uniti Group Finance Inc./CSL Capital LLC,
4.75%, 04/15/28 |
2 | 1,585 | ||||||
|
Ventas Realty LP, 4.40%, 01/15/29 (Call 10/15/28) |
10 | 9,305 | ||||||
|
VICI Properties LP, 4.75%, 02/15/28 (Call 01/15/28) |
20 | 18,867 | ||||||
|
Welltower
OP LLC |
10 | 8,693 | ||||||
|
4.00%, 06/01/25 (Call 03/01/25) |
5 | 4,833 | ||||||
|
4.25%, 04/15/28 (Call 01/15/28) |
20 | 18,884 | ||||||
|
Weyerhaeuser Co., 4.00%, 11/15/29 (Call 08/15/29) |
10 | 9,105 | ||||||
|
WP Carey Inc., 2.40%, 02/01/31 (Call 11/01/30) |
5 | 4,031 | ||||||
|
XHR LP, 6.38%, 08/15/25 (Call 08/15/23)(a) |
2 | 1,940 | ||||||
|
|
|
|||||||
| 329,657 | ||||||||
| 30 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security |
Par |
Value | ||||||
| Retail — 1.3% | ||||||||
|
Arko
Corp., 5.13%, 11/15/29 |
$ | 2 | $ | 1,584 | ||||
|
Bath &
Body Works Inc. |
2 | 1,717 | ||||||
|
6.88%, 11/01/35 |
2 | 1,765 | ||||||
|
Dick’s
Sporting Goods Inc. |
20 | 15,797 | ||||||
|
4.10%, 01/15/52 (Call 07/15/51) |
5 | 3,320 | ||||||
|
Dollar
Tree Inc. |
5 | 4,856 | ||||||
|
4.20%, 05/15/28 (Call 02/15/28) |
15 | 14,263 | ||||||
|
FirstCash Inc., 5.63%, 01/01/30 (Call 01/01/25)(a) |
2 | 1,769 | ||||||
|
Gap
Inc. (The), 3.63%, 10/01/29 |
2 | 1,467 | ||||||
|
Home Depot Inc. (The), 2.70%, 04/15/25 (Call 03/15/25) |
10 | 9,539 | ||||||
|
Lowe’s Companies Inc., 4.00%, 04/15/25 (Call 03/15/25) |
10 | 9,739 | ||||||
|
McDonald’s
Corp. |
15 | 14,422 | ||||||
|
4.70%, 12/09/35 (Call 06/09/35) |
5 | 4,733 | ||||||
|
QVC Inc., 4.38%, 09/01/28 (Call 06/01/28) |
4 | 2,229 | ||||||
|
Ross Stores Inc., 4.60%, 04/15/25 (Call 03/15/25) |
25 | 24,614 | ||||||
|
Target Corp., 2.25%, 04/15/25 (Call 03/15/25) |
10 | 9,447 | ||||||
|
Walgreens
Boots Alliance Inc. |
10 | 9,386 | ||||||
|
3.80%, 11/18/24 (Call 08/18/24) |
5 | 4,859 | ||||||
|
4.80%, 11/18/44 (Call 05/18/44) |
5 | 4,142 | ||||||
|
Walmart
Inc. |
10 | 9,753 | ||||||
|
3.90%, 09/09/25 |
15 | 14,700 | ||||||
|
|
|
|||||||
| 164,101 | ||||||||
| Semiconductors — 1.4% | ||||||||
|
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 (Call 10/15/26) |
10 | 9,431 | ||||||
|
Broadcom
Inc. |
10 | 9,417 | ||||||
|
4.15%, 11/15/30 (Call 08/15/30) |
10 | 9,003 | ||||||
|
4.75%, 04/15/29 (Call 01/15/29) |
10 | 9,565 | ||||||
|
5.00%, 04/15/30 (Call 01/15/30) |
5 | 4,800 | ||||||
|
Intel Corp., 3.40%, 03/25/25 (Call 02/25/25) |
20 | 19,315 | ||||||
|
Marvell
Technology Inc. |
10 | 8,555 | ||||||
|
2.95%, 04/15/31 (Call 01/15/31) |
10 | 8,046 | ||||||
|
Microchip Technology Inc., 4.25%, 09/01/25 (Call 09/01/23) |
15 | 14,526 | ||||||
|
Micron
Technology Inc. |
15 | 13,796 | ||||||
|
6.75%, 11/01/29 (Call 09/01/29) |
5 | 5,167 | ||||||
|
NVIDIA Corp., 0.58%, 06/14/24 (Call 06/14/23) |
5 | 4,714 | ||||||
|
NXP BV/NXP Funding LLC, 5.55%, 12/01/28 (Call 09/01/28) |
10 | 9,993 | ||||||
|
NXP BV/NXP Funding LLC/NXP USA Inc., 3.40%, 05/01/30 (Call 02/01/30) |
||||||||
| 15 | 12,981 | |||||||
|
Qorvo
Inc. |
10 | 9,267 | ||||||
|
4.38%, 10/15/29 (Call 10/15/24) |
15 | 13,375 | ||||||
|
QUALCOMM Inc., 3.45%, 05/20/25 (Call 02/20/25) |
5 | 4,828 | ||||||
|
Skyworks
Solutions Inc. |
5 | 4,402 | ||||||
|
3.00%, 06/01/31 (Call 03/01/31) |
5 | 4,044 | ||||||
|
|
|
|||||||
| 175,225 | ||||||||
| Security |
Par |
Value | ||||||
| Shipbuilding — 0.1% | ||||||||
|
Huntington
Ingalls Industries Inc. |
$ | 10 | $ | 8,219 | ||||
|
3.84%, 05/01/25 (Call 04/01/25) |
10 | 9,606 | ||||||
|
|
|
|||||||
| 17,825 | ||||||||
| Software — 1.6% | ||||||||
|
Broadridge
Financial Solutions Inc., |
||||||||
| 10 | 8,443 | |||||||
|
Fiserv
Inc. |
5 | 4,814 | ||||||
|
3.85%, 06/01/25 (Call 03/01/25) |
10 | 9,628 | ||||||
|
4.20%, 10/01/28 (Call 07/01/28) |
15 | 14,091 | ||||||
|
Microsoft Corp., 2.70%, 02/12/25 (Call 11/12/24) |
30 | 28,855 | ||||||
|
MicroStrategy
Inc., 6.13%, 06/15/28 |
3 | 2,490 | ||||||
|
Oracle
Corp. |
10 | 9,428 | ||||||
|
2.88%, 03/25/31 (Call 12/25/30) |
15 | 12,436 | ||||||
|
2.95%, 11/15/24 (Call 09/15/24) |
30 | 28,763 | ||||||
|
2.95%, 04/01/30 (Call 01/01/30) |
10 | 8,533 | ||||||
|
4.30%, 07/08/34 (Call 01/08/34) |
15 | 13,171 | ||||||
|
5.38%, 07/15/40 |
15 | 13,740 | ||||||
|
ROBLOX Corp., 3.88%, 05/01/30 (Call 11/01/24)(a) |
3 | 2,466 | ||||||
|
Roper
Technologies Inc. |
10 | 9,009 | ||||||
|
4.20%, 09/15/28 (Call 06/15/28) |
15 | 14,325 | ||||||
|
VMware
Inc. |
15 | 14,005 | ||||||
|
4.50%, 05/15/25 (Call 04/15/25) |
5 | 4,899 | ||||||
|
|
|
|||||||
| 199,096 | ||||||||
| Telecommunications — 1.7% | ||||||||
|
AT&T
Inc. |
5 | 4,739 | ||||||
|
4.85%, 03/01/39 (Call 09/01/38) |
15 | 13,465 | ||||||
|
5.25%, 03/01/37 (Call 09/01/36) |
10 | 9,621 | ||||||
|
5.54%, 02/20/26 (Call 02/20/24) |
25 | 24,888 | ||||||
|
5.65%, 02/15/47 (Call 08/15/46) |
10 | 9,773 | ||||||
|
Deutsche Telekom International Finance BV, 8.75%, 06/15/30 |
10 | 11,852 | ||||||
|
Embarq Corp., 8.00%, 06/01/36 |
5 | 2,152 | ||||||
|
Hughes Satellite Systems Corp., 6.63%, 08/01/26 |
2 | 1,883 | ||||||
|
Lumen Technologies Inc., 5.38%, 06/15/29 (Call 06/15/24)(a) |
2 | 1,085 | ||||||
|
Motorola
Solutions Inc. |
5 | 3,911 | ||||||
|
4.60%, 05/23/29 (Call 02/23/29) |
10 | 9,411 | ||||||
|
Orange SA, 9.00%, 03/01/31 |
10 | 12,240 | ||||||
|
Rogers Communications Inc., 3.80%, 03/15/32 (Call 12/15/31)(a) |
||||||||
| 20 | 17,470 | |||||||
|
T-Mobile USA Inc. |
15 | 12,242 | ||||||
|
3.50%, 04/15/25 (Call 03/15/25) |
6 | 5,747 | ||||||
|
3.75%, 04/15/27 (Call 02/15/27) |
10 | 9,401 | ||||||
|
3.88%, 04/15/30 (Call 01/15/30) |
20 | 18,135 | ||||||
|
4.38%, 04/15/40 (Call 10/15/39) |
5 | 4,249 | ||||||
|
Verizon
Communications Inc. |
10 | 8,924 | ||||||
|
4.27%, 01/15/36 |
5 | 4,413 | ||||||
|
5.25%, 03/16/37 |
15 | 14,646 | ||||||
|
Vodafone
Group PLC |
5 | 4,866 | ||||||
|
6.15%, 02/27/37 |
10 | 10,346 | ||||||
|
|
|
|||||||
| 215,459 | ||||||||
|
S C H E D U L E O F I N V E S T M E N T S |
31 |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Transportation — 0.4% | ||||||||
|
Burlington
Northern Santa Fe LLC, |
$ | 10 | $ | 9,836 | ||||
|
Canadian
Pacific Railway Co., |
10 | 9,322 | ||||||
|
Union
Pacific Corp., |
10 | 9,704 | ||||||
|
United
Parcel Service Inc. |
10 | 9,772 | ||||||
|
6.20%, 01/15/38 |
10 | 11,057 | ||||||
|
|
|
|||||||
| 49,691 | ||||||||
| Trucking & Leasing — 0.0% | ||||||||
|
Fortress
Transportation and Infrastructure Investors LLC,
5.50%, 05/01/28 |
3 | 2,679 | ||||||
|
|
|
|||||||
|
Total
Corporate Bonds & Notes — 50.6% |
|
6,360,507 | ||||||
|
|
|
|||||||
|
U.S. Government & Agency Obligations |
| |||||||
| Mortgage-Backed Securities — 29.1% | ||||||||
|
Federal
Home Loan Mortgage Corp., |
25 | 25,399 | ||||||
|
Freddie Mac Multifamily Structured Pass Through Certificates |
||||||||
|
Series K081, Class A2, 3.90%, 08/25/28 (Call 12/25/28)(c) |
30 | 29,018 | ||||||
|
Series K108, Class A2, 1.52%, 03/25/30 (Call 03/25/30) |
16 | 13,129 | ||||||
|
Series K123, Class A2, 1.62%, 12/25/30 (Call 01/25/31) |
47 | 37,847 | ||||||
|
Government National Mortgage Association 2.00%, 03/21/53(e) |
50 | 41,905 | ||||||
|
2.50%, 03/21/53(e) |
250 | 216,172 | ||||||
|
3.00%, 08/20/51 |
48 | 43,551 | ||||||
|
3.00%, 02/20/52 |
74 | 65,868 | ||||||
|
3.00%, 03/21/53(e) |
50 | 44,630 | ||||||
|
3.50%, 03/20/49 |
28 | 26,468 | ||||||
|
3.50%, 03/21/53(e) |
96 | 88,211 | ||||||
|
4.00%, 03/21/53(e) |
75 | 70,855 | ||||||
|
4.50%, 08/20/52 |
29 | 27,819 | ||||||
|
4.50%, 03/21/53(e) |
50 | 48,479 | ||||||
|
5.00%, 03/21/53(e) |
25 | 24,699 | ||||||
|
5.50%, 03/21/53(e) |
25 | 25,087 | ||||||
|
Uniform Mortgage-Backed Securities 1.50%, 03/01/36 |
3 | 2,633 | ||||||
|
1.50%, 02/01/37 |
65 | 55,944 | ||||||
|
1.50%, 03/01/37 |
48 | 42,237 | ||||||
|
1.50%, 07/01/51 |
20 | 15,905 | ||||||
|
1.50%, 11/01/51 |
25 | 18,985 | ||||||
|
1.50%, 03/13/53(e) |
25 | 19,310 | ||||||
|
2.00%, 11/01/35 |
69 | 61,604 | ||||||
|
2.00%, 03/16/38(e) |
158 | 139,812 | ||||||
|
2.00%, 08/01/50 |
307 | 250,842 | ||||||
|
2.00%, 10/01/50 |
26 | 21,238 | ||||||
|
2.00%, 12/01/51 |
24 | 19,799 | ||||||
|
2.00%, 02/01/52 |
27 | 21,762 | ||||||
|
2.00%, 03/01/52 |
480 | 391,796 | ||||||
|
2.00%, 03/13/53(e) |
69 | 56,191 | ||||||
|
2.50%, 03/16/38(e) |
125 | 113,984 | ||||||
|
2.50%, 09/01/51 |
176 | 149,237 | ||||||
|
2.50%, 11/01/51 |
45 | 38,033 | ||||||
|
2.50%, 01/01/52 |
185 | 157,322 | ||||||
|
2.50%, 03/13/53(e) |
175 | 148,224 | ||||||
|
3.00%, 03/16/38(e) |
75 | 69,929 | ||||||
|
3.00%, 03/13/53(e) |
350 | 307,815 | ||||||
|
3.50%, 03/16/38(e) |
25 | 23,828 | ||||||
|
3.50%, 03/13/53(e) |
250 | 227,559 | ||||||
| Security | Par/ Shares (000) |
Value | ||||||
| Mortgage-Backed Securities (continued) | ||||||||
|
4.00%, 05/01/52 |
$ | 27 | $ | 25,588 | ||||
|
4.00%, 03/13/53(e) |
222 | 208,368 | ||||||
|
4.50%, 03/13/53(e) |
125 | 120,430 | ||||||
|
5.00%, 03/13/53(e) |
75 | 73,723 | ||||||
|
5.50%, 03/13/53(e) |
50 | 49,914 | ||||||
|
|
|
|||||||
| 3,661,149 | ||||||||
| U.S. Government Obligations — 21.1% | ||||||||
|
U.S.
Treasury Note/Bond |
140 | 110,731 | ||||||
|
1.13%, 08/15/40 |
131 | 82,504 | ||||||
|
1.25%, 05/15/50 |
197 | 108,948 | ||||||
|
1.38%, 11/15/31 |
171 | 139,198 | ||||||
|
1.38%, 11/15/40 |
214 | 140,613 | ||||||
|
1.38%, 08/15/50 |
306 | 175,400 | ||||||
|
1.63%, 11/15/50 |
287 | 175,844 | ||||||
|
1.75%, 08/15/41 |
233 | 161,462 | ||||||
|
1.88%, 02/15/32 |
262 | 221,953 | ||||||
|
1.88%, 02/15/41 |
219 | 156,525 | ||||||
|
1.88%, 02/15/51 |
128 | 83,570 | ||||||
|
1.88%, 11/15/51 |
138 | 89,754 | ||||||
|
2.25%, 08/15/46 |
64 | 46,178 | ||||||
|
2.50%, 02/15/45 |
214 | 163,484 | ||||||
|
2.50%, 02/15/46 |
113 | 85,876 | ||||||
|
2.50%, 05/15/46 |
38 | 28,876 | ||||||
|
2.75%, 08/15/32 |
246 | 223,552 | ||||||
|
2.88%, 08/15/45 |
32 | 26,098 | ||||||
|
4.00%, 11/15/42 |
172 | 169,554 | ||||||
|
4.13%, 11/15/32 |
115 | 116,833 | ||||||
|
5.38%, 02/15/31 |
50 | 54,672 | ||||||
|
6.25%, 05/15/30 |
75 | 85,245 | ||||||
|
|
|
|||||||
| 2,646,870 | ||||||||
|
|
|
|||||||
|
Total
U.S. Government & Agency Obligations — 50.2% |
|
6,308,019 | ||||||
|
|
|
|||||||
|
Total
Long-Term Investments — 102.3% |
|
12,849,397 | ||||||
|
|
|
|||||||
|
Short-Term Securities |
| |||||||
| Money Market Funds — 18.3% | ||||||||
|
BlackRock Cash Funds: Institutional, SL Agency Shares, 4.81%(f)(g) |
2,171 | 2,172,145 | ||||||
|
BlackRock Cash Funds: Treasury, SL Agency Shares, 4.41%(f)(g)(h) |
127 | 126,506 | ||||||
|
|
|
|||||||
|
Total
Short-Term Securities — 18.3% |
|
2,298,651 | ||||||
|
|
|
|||||||
|
Total
Investments Before TBA Sales Commitments — 120.6% |
|
15,148,048 | ||||||
|
|
|
|||||||
|
TBA Sales Commitments(e) |
| |||||||
| Mortgage-Backed Securities — (3.5)% | ||||||||
|
Government
National Mortgage Association |
(125 | ) | (108,086 | ) | ||||
|
3.00%, 03/21/53 |
(50 | ) | (44,630 | ) | ||||
|
4.50%, 03/21/53 |
(50 | ) | (48,478 | ) | ||||
|
Uniform
Mortgage-Backed Securities |
(25 | ) | (22,175 | ) | ||||
| 32 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Mortgage-Backed Securities (continued) | ||||||||
|
2.00%, 03/13/53 |
(69 | ) | $ | (56,190 | ) | |||
|
2.50%, 03/16/38 |
(25 | ) | (22,797 | ) | ||||
|
3.00%, 03/16/38 |
(25 | ) | (23,310 | ) | ||||
|
3.50%, 03/13/53 |
(50 | ) | (45,512 | ) | ||||
|
4.00%, 03/13/53 |
(75 | ) | (70,394 | ) | ||||
|
|
|
|||||||
|
Total
TBA Sales Commitments — (3.5)% |
(441,572 | ) | ||||||
|
|
|
|||||||
|
Total
Investments, Net of TBA Sales Commitments — 117.1% |
|
14,706,476 | ||||||
|
Liabilities in Excess of Other Assets — (17.1)% |
(2,140,837 | ) | ||||||
|
|
|
|||||||
|
Net Assets — 100.0% |
|
$ | 12,565,639 | |||||
|
|
|
|||||||
| (a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (b) |
All or a portion of this security is on loan. |
| (c) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| (d) |
Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
| (e) |
Represents or includes a TBA transaction. |
| (f) |
Affiliate of the Fund. |
| (g) |
Annualized 7-day yield as of period end. |
| (h) |
All or a portion of this security was purchased with the cash collateral from loaned securities. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
|
||||||||||||||||||||||||||||||||||||
| Affiliated Issuer | |
Value at 02/28/22 |
|
|
Purchases at Cost |
|
|
Proceeds from Sale |
|
|
Net Realized Gain (Loss) |
|
|
Change
in Unrealized Appreciation (Depreciation) |
|
|
Value at 02/28/23 |
|
|
Shares Held at 02/28/23 (000) |
|
Income | |
Capital
Gain Distributions from Underlying Funds |
| |||||||||||
|
|
||||||||||||||||||||||||||||||||||||
|
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 4,283,613 | $ | — | $ | (2,112,018 | )(a) | $ | (1,160 | ) | $ | 1,710 | $ | 2,172,145 | 2,171 | $ | 68,104 | $ | — | |||||||||||||||||
|
BlackRock Cash Funds: Treasury, SL Agency Shares |
119,800 | 6,706 | (a) | — | — | — | 126,506 | 127 | 2,954 | (b) | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (1,160 | ) | $ | 1,710 | $ | 2,298,651 | $ | 71,058 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) |
Represents net amount purchased (sold). |
| (b) |
All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Derivative Financial Instruments Categorized by Risk Exposure
For the period ended February 28, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:
|
|
||||||||||||||||||||||||||||
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
|
Net Realized Gain (Loss) from |
||||||||||||||||||||||||||||
|
Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 16,425 | $ | — | $ | 16,425 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
|
Net Change in Unrealized Appreciation (Depreciation) on |
||||||||||||||||||||||||||||
|
Futures contracts |
$ | — | $ | — | $ | (1,666 | ) | $ | — | $ | — | $ | — | $ | (1,666 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
|
||||
|
Futures contracts |
||||
|
Average notional value of contracts — long |
$ | 176,689 | ||
|
Average notional value of contracts — short |
$ | (153,031) | ||
|
|
||||
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
|
S C H E D U L E O F I N V E S T M E N T S |
33 |
|
Schedule of Investments (continued) February 28, 2023 |
iShares® USD Bond Factor ETF |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
|
||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
|
||||||||||||||||
|
Assets |
||||||||||||||||
|
Investments |
||||||||||||||||
|
Long-Term Investments |
||||||||||||||||
|
Collaterized Mortgage Obligations |
$ | — | $ | 180,871 | $ | — | $ | 180,871 | ||||||||
|
Corporate Bonds & Notes |
— | 6,360,507 | — | 6,360,507 | ||||||||||||
|
U.S. Government & Agency Obligations |
— | 6,308,019 | — | 6,308,019 | ||||||||||||
|
Short-Term Securities |
||||||||||||||||
|
Money Market Funds |
2,298,651 | — | — | 2,298,651 | ||||||||||||
|
Liabilities |
||||||||||||||||
|
Investments |
||||||||||||||||
|
TBA Sales Commitments |
— | (441,572 | ) | — | (441,572 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 2,298,651 | $ | 12,407,825 | $ | — | $ | 14,706,476 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See notes to financial statements.
| 34 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Assets and Liabilities
February 28, 2023
|
iShares High Yield |
iShares Investment Grade Bond Factor ETF |
iShares USD Bond |
||||||||||
|
|
||||||||||||
|
ASSETS |
||||||||||||
|
Investments, at value — unaffiliated(a)(b) |
$ | 129,196,594 | $ | 230,940,279 | $ | 12,849,397 | ||||||
|
Investments, at value — affiliated(c) |
25,729,304 | 15,161,282 | 2,298,651 | |||||||||
|
Cash |
28,420 | 6,633 | 166 | |||||||||
|
Foreign currency, at value |
264 | — | — | |||||||||
|
Receivables: |
||||||||||||
|
Investments sold |
4,097,396 | 17,377,247 | 900,421 | |||||||||
|
Securities lending income — affiliated |
17,299 | 2,292 | 35 | |||||||||
|
TBA sales commitments |
— | — | 441,271 | |||||||||
|
Dividends — affiliated |
3,639 | 5,188 | 8,350 | |||||||||
|
Interest — unaffiliated |
2,456,995 | 2,938,797 | 89,340 | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total assets |
161,529,911 | 266,431,718 | 16,587,631 | |||||||||
|
|
|
|
|
|
|
|||||||
|
LIABILITIES |
||||||||||||
|
Collateral on securities loaned, at value |
24,447,719 | 13,115,421 | 26,506 | |||||||||
|
TBA sales commitments, at value(d) |
— | — | 441,572 | |||||||||
|
Payables: |
||||||||||||
|
Investments purchased |
2,432,604 | 17,824,802 | 3,552,317 | |||||||||
|
Investment advisory fees |
34,349 | 31,692 | 1,597 | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total liabilities |
26,914,672 | 30,971,915 | 4,021,992 | |||||||||
|
|
|
|
|
|
|
|||||||
|
NET ASSETS |
$ | 134,615,239 | $ | 235,459,803 | $ | 12,565,639 | ||||||
|
|
|
|
|
|
|
|||||||
|
NET ASSETS CONSIST OF |
||||||||||||
|
Paid-in capital |
$ | 154,784,089 | $ | 263,009,603 | $ | 15,600,945 | ||||||
|
Accumulated loss |
(20,168,850 | ) | (27,549,800 | ) | (3,035,306 | ) | ||||||
|
|
|
|
|
|
|
|||||||
|
NET ASSETS |
$ | 134,615,239 | $ | 235,459,803 | $ | 12,565,639 | ||||||
|
|
|
|
|
|
|
|||||||
|
NET ASSETVALUE |
||||||||||||
|
Shares outstanding |
3,050,000 | 5,400,000 | 150,000 | |||||||||
|
|
|
|
|
|
|
|||||||
|
Net asset value |
$ | 44.14 | $ | 43.60 | $ | 83.77 | ||||||
|
|
|
|
|
|
|
|||||||
|
Shares authorized |
Unlimited | Unlimited | Unlimited | |||||||||
|
|
|
|
|
|
|
|||||||
|
Par value |
None | None | None | |||||||||
|
|
|
|
|
|
|
|||||||
|
(a) Investments, at cost — unaffiliated |
$ | 137,722,085 | $ | 246,494,239 | $ | 13,734,312 | ||||||
|
(b) Securities loaned, at value |
$ | 23,112,529 | $ | 12,422,330 | $ | 25,406 | ||||||
|
(c) Investments, at cost — affiliated |
$ | 25,715,072 | $ | 15,156,235 | $ | 2,297,441 | ||||||
|
(d) Proceeds from TBA sales commitments |
$ | — | $ | — | $ | 441,271 | ||||||
See notes to financial statements.
|
F I N A N C I A L S T A T E M E N T S |
35 |
Year Ended February 28, 2023
| |
iShares High Yield |
|
|
iShares Investment Grade Bond Factor ETF |
|
|
iShares USD Bond |
| ||||
|
|
||||||||||||
|
INVESTMENT INCOME |
||||||||||||
|
Dividends — affiliated |
$ | 26,652 | $ | 33,449 | $ | 70,251 | ||||||
|
Interest — unaffiliated |
7,600,266 | 6,721,645 | 455,675 | |||||||||
|
Securities lending income — affiliated — net |
176,901 | 17,132 | 807 | |||||||||
|
Other income — unaffiliated |
2,750 | — | 15 | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total investment income |
7,806,569 | 6,772,226 | 526,748 | |||||||||
|
|
|
|
|
|
|
|||||||
|
EXPENSES |
||||||||||||
|
Investment advisory |
437,996 | 306,093 | 29,747 | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total expenses |
437,996 | 306,093 | 29,747 | |||||||||
|
Less: |
||||||||||||
|
Investment advisory fees waived |
— | — | (2,797 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total expenses after fees waived |
437,996 | 306,093 | 26,950 | |||||||||
|
|
|
|
|
|
|
|||||||
|
Net investment income |
7,368,573 | 6,466,133 | 499,798 | |||||||||
|
|
|
|
|
|
|
|||||||
|
REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||
|
Investments — unaffiliated |
(9,247,043 | ) | (12,729,129 | ) | (2,000,359 | ) | ||||||
|
Investments — affiliated |
(6,135 | ) | 85 | (1,160 | ) | |||||||
|
Capital gain distributions from underlying funds — affiliated |
— | 1 | — | |||||||||
|
Futures contracts |
— | — | 16,425 | |||||||||
|
In-kind redemptions — unaffiliated(a) |
(2,382,919 | ) | — | (170,593 | ) | |||||||
|
|
|
|
|
|
|
|||||||
| (11,636,097 | ) | (12,729,043 | ) | (2,155,687 | ) | |||||||
|
|
|
|
|
|
|
|||||||
|
Net change in unrealized appreciation (depreciation) on: |
||||||||||||
|
Investments — unaffiliated |
(3,727,902 | ) | (10,151,019 | ) | (289,726 | ) | ||||||
|
Investments — affiliated |
14,068 | 3,666 | 1,710 | |||||||||
|
Foreign currency translations |
22 | — | — | |||||||||
|
Futures contracts |
— | — | (1,666 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
| (3,713,812 | ) | (10,147,353 | ) | (289,682 | ) | |||||||
|
|
|
|
|
|
|
|||||||
|
Net realized and unrealized loss |
(15,349,909 | ) | (22,876,396 | ) | (2,445,369 | ) | ||||||
|
|
|
|
|
|
|
|||||||
|
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (7,981,336 | ) | $ | (16,410,263 | ) | $ | (1,945,571 | ) | |||
|
|
|
|
|
|
|
|||||||
| (a) |
See Note 2 of the Notes to Financial Statements. |
See notes to financial statements.
| 36 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Changes in Net Assets
| iShares High Yield Bond Factor ETF |
iShares Investment Grade Bond Factor ETF |
|||||||||||||||||||
| Year Ended 02/28/23 |
Year Ended 02/28/22 |
Year Ended 02/28/23 |
Year Ended 02/28/22 |
|||||||||||||||||
|
|
||||||||||||||||||||
|
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||
|
OPERATIONS |
||||||||||||||||||||
|
Net investment income |
$ | 7,368,573 | $ | 6,440,998 | $ | 6,466,133 | $ | 4,164,030 | ||||||||||||
|
Net realized gain (loss) |
(11,636,097 | ) | 175,032 | (12,729,043 | ) | 3,262,702 | ||||||||||||||
|
Net change in unrealized appreciation (depreciation) |
(3,713,812 | ) | (7,647,697 | ) | (10,147,353 | ) | (13,764,688 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Net decrease in net assets resulting from operations |
(7,981,336 | ) | (1,031,667 | ) | (16,410,263 | ) | (6,337,956 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
|
DISTRIBUTIONS TO SHAREHOLDERS(a) |
||||||||||||||||||||
|
Decrease in net assets resulting from distributions to shareholders |
(7,711,884 | ) | (6,648,731 | ) | (6,064,177 | ) | (6,167,210 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
|
CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||
|
Net increase (decrease) in net assets derived from capital share transactions |
(24,604,285 | ) | 103,052,577 | 95,924,836 | 16,135,433 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
|
NET ASSETS |
||||||||||||||||||||
|
Total increase (decrease) in net assets |
(40,297,505 | ) | 95,372,179 | 73,450,396 | 3,630,267 | |||||||||||||||
|
Beginning of year |
174,912,744 | 79,540,565 | 162,009,407 | 158,379,140 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
|
End of year |
$ | 134,615,239 | $ | 174,912,744 | $ | 235,459,803 | $ | 162,009,407 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
| (a) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
|
F I N A N C I A L S T A T E M E N T S |
37 |
Statements of Changes in Net Assets (continued)
| iShares USD Bond Factor ETF |
||||||||
| |
Year Ended 02/28/23 |
|
|
Period From 10/12/21 to 02/28/22 |
(a)
| |||
|
|
||||||||
|
INCREASE (DECREASE) IN NET ASSETS |
||||||||
|
OPERATIONS |
||||||||
|
Net investment income |
$ | 499,798 | $ | 107,373 | ||||
|
Net realized loss |
(2,155,687 | ) | (210,370 | ) | ||||
|
Net change in unrealized appreciation (depreciation) |
(289,682 | ) | (594,324 | ) | ||||
|
|
|
|
|
|||||
|
Net decrease in net assets resulting from operations |
(1,945,571 | ) | (697,321 | ) | ||||
|
|
|
|
|
|||||
|
DISTRIBUTIONS TO SHAREHOLDERS(b) |
||||||||
|
Decrease in net assets resulting from distributions to shareholders |
(482,791 | ) | (87,083 | ) | ||||
|
|
|
|
|
|||||
|
CAPITAL SHARE TRANSACTIONS |
||||||||
|
Net increase (decrease) in net assets derived from capital share transactions |
(4,233,961 | ) | 20,012,366 | |||||
|
|
|
|
|
|||||
|
NET ASSETS |
||||||||
|
Total increase (decrease) in net assets |
(6,662,323 | ) | 19,227,962 | |||||
|
Beginning of period |
19,227,962 | — | ||||||
|
|
|
|
|
|||||
|
End of period |
$ | 12,565,639 | $ | 19,227,962 | ||||
|
|
|
|
|
|||||
| (a) |
Commencement of operations. |
| (b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| 38 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
(For a share outstanding throughout each period)
| iShares High Yield Bond Factor ETF | ||||||||||||||||||||
| |
Year Ended 02/28/23 |
|
|
Year Ended 02/28/22 |
|
|
Year Ended 02/28/21 |
|
|
Year Ended 02/29/20 |
|
|
Year Ended 02/28/19 |
| ||||||
|
|
||||||||||||||||||||
|
Net asset value, beginning of year |
$ | 49.27 | $ | 51.32 | $ | 49.43 | $ | 49.03 | $ | 49.99 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net investment income(a) |
2.66 | 2.23 | 2.90 | 2.88 | 2.92 | |||||||||||||||
|
Net realized and unrealized gain (loss)(b) |
(5.00 | ) | (1.90 | ) | 1.97 | 0.39 | (0.98 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net increase (decrease) from investment operations |
(2.34 | ) | 0.33 | 4.87 | 3.27 | 1.94 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Distributions from net investment income(c) |
(2.79 | ) | (2.38 | ) | (2.98 | ) | (2.87 | ) | (2.90 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net asset value, end of year |
$ | 44.14 | $ | 49.27 | $ | 51.32 | $ | 49.43 | $ | 49.03 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(d) |
||||||||||||||||||||
|
Based on net asset value |
(4.73 | )% | 0.63 | % | 10.38 | % | 6.78 | % | 4.08 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Ratios to Average Net Assets(e) |
||||||||||||||||||||
|
Total expenses |
0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net investment income |
5.89 | % | 4.37 | % | 5.97 | % | 5.77 | % | 5.99 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Supplemental Data |
||||||||||||||||||||
|
Net assets, end of year (000) |
$ | 134,615 | $ | 174,913 | $ | 79,541 | $ | 39,545 | $ | 17,162 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Portfolio turnover rate(f) |
60 | % | 67 | % | 67 | % | 46 | % | 59 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (a) |
Based on average shares outstanding. |
| (b) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
| (c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (d) |
Where applicable, assumes the reinvestment of distributions. |
| (e) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (f) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
|
F I N A N C I A L H I G H L I G H T S |
39 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| iShares Investment Grade Bond Factor ETF | ||||||||||||||||||||
| |
Year Ended 02/28/23 |
|
|
Year Ended 02/28/22 |
|
|
Year Ended 02/28/21 |
|
|
Year Ended 02/29/20 |
|
|
Year Ended 02/28/19 |
| ||||||
|
|
||||||||||||||||||||
|
Net asset value, beginning of year |
$ | 49.85 | $ | 53.69 | $ | 53.44 | $ | 48.32 | $ | 48.85 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net investment income(a) |
1.70 | 1.36 | 1.56 | 1.88 | 1.88 | |||||||||||||||
|
Net realized and unrealized gain (loss)(b) |
(6.35 | ) | (3.19 | ) | 0.76 | 6.14 | (0.69 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net increase (decrease) from investment operations |
(4.65 | ) | (1.83 | ) | 2.32 | 8.02 | 1.19 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Distributions(c) |
||||||||||||||||||||
|
From net investment income |
(1.59 | ) | (1.39 | ) | (1.59 | ) | (1.85 | ) | (1.72 | ) | ||||||||||
|
From net realized gain |
(0.01 | ) | (0.62 | ) | (0.48 | ) | (1.05 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total distributions |
(1.60 | ) | (2.01 | ) | (2.07 | ) | (2.90 | ) | (1.72 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net asset value, end of year |
$ | 43.60 | $ | 49.85 | $ | 53.69 | $ | 53.44 | $ | 48.32 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(d) |
||||||||||||||||||||
|
Based on net asset value |
(9.35 | )% | (3.57 | )% | 4.41 | % | 16.96 | % | 2.54 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Ratios to Average Net Assets(e) |
||||||||||||||||||||
|
Total expenses |
0.18 | % | 0.18 | % | 0.18 | % | 0.18 | % | 0.18 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net investment income |
3.80 | % | 2.57 | % | 2.90 | % | 3.67 | % | 3.95 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Supplemental Data |
||||||||||||||||||||
|
Net assets, end of year (000) |
$ | 235,460 | $ | 162,009 | $ | 158,379 | $ | 93,520 | $ | 96,648 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Portfolio turnover rate(f) |
87 | % | 59 | % | 46 | % | 75 | % | 63 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (a) |
Based on average shares outstanding. |
| (b) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
| (c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (d) |
Where applicable, assumes the reinvestment of distributions. |
| (e) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (f) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
| 40 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| iShares USD Bond Factor ETF | ||||||||
| |
Year Ended 02/28/23 |
|
|
Period From 10/12/21 to 02/28/22 |
(a)
| |||
|
|
||||||||
|
Net asset value, beginning of period |
$ | 96.14 | $ | 100.00 | ||||
|
|
|
|
|
|||||
|
Net investment income(b) |
2.62 | 0.54 | ||||||
|
Net realized and unrealized loss(c) |
(12.51 | ) | (3.96 | ) | ||||
|
|
|
|
|
|||||
|
Net decrease from investment operations |
(9.89 | ) | (3.42 | ) | ||||
|
|
|
|
|
|||||
|
Distributions from net investment income(d) |
(2.48 | ) | (0.44 | ) | ||||
|
|
|
|
|
|||||
|
Net asset value, end of period |
$ | 83.77 | $ | 96.14 | ||||
|
|
|
|
|
|||||
|
Total Return(e) |
||||||||
|
Based on net asset value |
(10.34 | )% | (3.43 | )%(f) | ||||
|
|
|
|
|
|||||
|
Ratios to Average Net Assets(g) |
||||||||
|
Total expenses |
0.18 | % | 0.18 | %(h) | ||||
|
|
|
|
|
|||||
|
Total expenses after fees waived |
0.16 | % | 0.16 | %(h) | ||||
|
|
|
|
|
|||||
|
Net investment income |
3.02 | % | 1.43 | %(h) | ||||
|
|
|
|
|
|||||
|
Supplemental Data |
||||||||
|
Net assets, end of period (000) |
$ | 12,566 | $ | 19,228 | ||||
|
|
|
|
|
|||||
|
Portfolio turnover rate(i)(j) |
519 | % | 243 | % | ||||
|
|
|
|
|
|||||
| (a) |
Commencement of operations. |
| (b) |
Based on average shares outstanding. |
| (c) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
| (d) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (e) |
Where applicable, assumes the reinvestment of distributions. |
| (f) |
Not annualized. |
| (g) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (h) |
Annualized. |
| (i) |
Portfolio turnover rate excludes in-kind transactions. |
| (j) |
Includes mortgage dollar roll transactions (“MDRs”). |
See notes to financial statements.
|
F I N A N C I A L H I G H L I G H T S |
41 |
| 1. |
ORGANIZATION |
iShares Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust and is authorized to have multiple series or portfolios.
These financial statements relate only to the following funds (each, a “Fund” and collectively, the “Funds”):
| iShares ETF | Diversification Classification |
|||
|
High Yield Bond Factor |
Diversified | |||
|
Investment Grade Bond Factor |
Diversified | |||
|
USD Bond Factor |
Non-diversified | |||
| 2. |
SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Upon notification from issuers or as estimated by management, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.
Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using prevailing market rates as quoted by one or more data service providers. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Collateralization: If required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.
In-kind Redemptions: For financial reporting purposes, in-kind redemptions are treated as sales of securities resulting in realized capital gains or losses to the Funds. Because such gains or losses are not taxable to the Funds and are not distributed to existing Fund shareholders, the gains or losses are reclassified from accumulated net realized gain (loss) to paid-in capital at the end of the Funds’ tax year. These reclassifications have no effect on net assets or net asset value (“NAV”) per share.
Distributions: Dividends and distributions paid by each Fund are recorded on the ex-dividend dates. Distributions are determined on a tax basis and may differ from net investment income and net realized capital gains for financial reporting purposes. Dividends and distributions are paid in U.S. dollars and cannot be automatically reinvested in additional shares of the Funds.
The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, each Fund enters into contracts that contain a variety of representations that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Funds, which cannot be predicted with any certainty.
| 3. |
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund’s listing exchange is open and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of the Trust (the “Board”) of each Fund has approved the designation of BlackRock Fund Advisors (“BFA”), the Funds’ investment adviser, as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under BFA’s policies. If a security’s market price is not readily available or does not
| 42 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (continued)
otherwise accurately represent the fair value of the security, the security will be valued in accordance with BFA’s policies and procedures as reflecting fair value. BFA has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
| • |
Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Pricing services generally value fixed income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless BFA determines such method does not represent fair value. |
| • |
Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV. |
| • |
Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee, in accordance with BFA’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.
Fair value pricing could result in a difference between the prices used to calculate a fund’s NAV and the prices used by the fund’s underlying index, which in turn could result in a difference between the fund’s performance and the performance of the fund’s underlying index.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| • |
Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access; |
| • |
Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs); and |
| • |
Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
| 4. |
SECURITIES AND OTHER INVESTMENTS |
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security
|
N O T E S T O F I N A N C I A L S T A T E M E N T S |
43 |
Notes to Financial Statements (continued)
will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.
To mitigate counterparty risk, a fund enters into a two-way collateral agreement for TBA transactions with certain counterparties. Under such agreement, the “in-the-money” party of a TBA transaction may at any time require the other party to pledge collateral assets (in the form of cash or securities) to offset any loss the in-the-money party would incur upon cancellation of the TBA transaction. A party is in-the-money if they are the buyer and the market value of the TBA transaction increases or if they are the seller and the market value of the TBA transaction decreases. Cash collateral received from the counterparty may be reinvested in money market funds, including those managed by the Funds’ investment adviser, or its affiliates. Such collateral, if any, is noted in the Schedule of Investments and the obligation to return the collateral is presented as a liability in the Statements of Assets and Liabilities. Securities pledged as collateral by a fund, if any, are noted in the Schedule of Investments.
Mortgage Dollar Roll Transactions: Certain Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Securities Lending: Each Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The initial collateral received by each Fund is required to have a value of at least 102% of the current market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund or excess collateral is returned by the Fund, on the next business day. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested in money market funds managed by BFA, or its affiliates is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default. The securities on loan, if any, are also disclosed in each Fund’s Schedule of Investments. The market value of any securities on loan and the value of any related cash collateral are disclosed in the Statements of Assets and Liabilities.
Securities lending transactions are entered into by the Funds under Master Securities Lending Agreements (each, an “MSLA”) which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Funds, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Funds can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
| 44 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (continued)
As of period end, the following table is a summary of the securities on loan by counterparty which are subject to offset under an MSLA:
|
|
||||||||||||||||
|
iShares ETF and Counterparty |
|
Securities Loaned at Value |
|
|
Cash Collateral Received |
(a) |
|
Non-Cash Collateral Received, at Fair Value |
(a) |
Net Amount | ||||||
|
|
||||||||||||||||
|
High Yield Bond Factor |
||||||||||||||||
|
Barclays Bank PLC |
$ | 2,925,045 | $ | (2,925,045 | ) | $ | — | $ | — | |||||||
|
BofA Securities, Inc. |
1,330,536 | (1,330,536 | ) | — | — | |||||||||||
|
Citadel Clearing LLC. |
409,207 | (409,207 | ) | — | — | |||||||||||
|
Citigroup Global Markets, Inc. |
671,725 | (671,725 | ) | — | — | |||||||||||
|
Credit Suisse Securities (USA) LLC. |
61,983 | (61,983 | ) | — | — | |||||||||||
|
Goldman Sachs & Co. LLC. |
4,803,274 | (4,803,274 | ) | — | — | |||||||||||
|
J.P. Morgan Securities LLC. |
8,952,111 | (8,952,111 | ) | — | — | |||||||||||
|
Jefferies LLC. |
210,227 | (210,227 | ) | — | — | |||||||||||
|
Morgan Stanley |
1,264,543 | (1,264,543 | ) | — | — | |||||||||||
|
Pershing LLC. |
488,437 | (488,437 | ) | — | — | |||||||||||
|
Scotia Capital (USA), Inc. |
825,811 | (825,811 | ) | — | — | |||||||||||
|
State Street Bank & Trust Co. |
1,169,630 | (1,169,630 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 23,112,529 | $ | (23,112,529 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
Investment Grade Bond Factor |
||||||||||||||||
|
Barclays Bank PLC |
$ | 3,227,601 | $ | (3,227,601 | ) | $ | — | $ | — | |||||||
|
BMO Capital Markets Corp. |
928 | (928 | ) | — | — | |||||||||||
|
BNP Paribas SA |
805,122 | (805,122 | ) | — | — | |||||||||||
|
BofA Securities, Inc. |
1,448,634 | (1,448,634 | ) | — | — | |||||||||||
|
Citigroup Global Markets, Inc. |
1,030,681 | (1,030,681 | ) | — | — | |||||||||||
|
Credit Suisse Securities (USA) LLC. |
150,009 | (150,009 | ) | — | — | |||||||||||
|
J.P. Morgan Securities LLC. |
1,827,446 | (1,827,446 | ) | — | — | |||||||||||
|
Morgan Stanley |
1,591,339 | (1,591,339 | ) | — | — | |||||||||||
|
Pershing LLC. |
1,116,512 | (1,116,512 | ) | — | — | |||||||||||
|
Scotia Capital (USA), Inc. |
159,535 | (159,535 | ) | — | — | |||||||||||
|
State Street Bank & Trust Co. |
617,773 | (617,773 | ) | — | — | |||||||||||
|
Wells Fargo Bank N.A. |
364,611 | (364,611 | ) | — | — | |||||||||||
|
Wells Fargo Securities LLC. |
82,139 | (82,139 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 12,422,330 | $ | (12,422,330 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
USD Bond Factor |
||||||||||||||||
|
Barclays Capital, Inc. |
$ | 5,246 | $ | (5,246 | ) | $ | — | $ | — | |||||||
|
BNP Paribas SA |
105 | (105 | ) | — | — | |||||||||||
|
BofA Securities, Inc. |
1,881 | (1,881 | ) | — | — | |||||||||||
|
Goldman Sachs & Co. LLC. |
16,181 | (16,181 | ) | — | — | |||||||||||
|
J.P. Morgan Securities LLC. |
1,993 | (1,993 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 25,406 | $ | (25,406 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) |
Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund’s Statements of Assets and Liabilities. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, each Fund benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value of the securities loaned in the event of borrower default. Each Fund could incur a loss if the value of an investment purchased with cash collateral falls below the market value of the loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by each Fund.
| 5. |
DERIVATIVE FINANCIAL INSTRUMENTS |
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
|
N O T E S T O F I N A N C I A L S T A T E M E N T S |
45 |
Notes to Financial Statements (continued)
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
| 6. |
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory Fees: Pursuant to an Investment Advisory Agreement with the Trust, BFA manages the investment of each Fund’s assets. BFA is a California corporation indirectly owned by BlackRock. Under the Investment Advisory Agreement, BFA is responsible for substantially all expenses of the Funds, except (i) interest and taxes; (ii) brokerage commissions and other expenses connected with the execution of portfolio transactions; (iii) distribution fees; (iv) the advisory fee payable to BFA; and (v) litigation expenses and any extraordinary expenses (in each case as determined by a majority of the independent trustees).
For its investment advisory services to each of the following Funds, BFAis entitled to an annual investment advisory fee, accrued daily and paid monthly by the Funds, based on the average daily net assets of each Fund as follows:
|
iShares ETF
|
Investment Advisory Fees
|
|||
|
High Yield Bond Factor |
0.35 | % | ||
|
Investment Grade Bond Factor |
0.18 | |||
|
USD Bond Factor |
0.18 | |||
Expense Waivers: A fund may incur its pro rata share of fees and expenses attributable to its investments in other investment companies (“acquired fund fees and expenses”). The total of the investment advisory fee and acquired fund fees and expenses, if any, is a fund’s total annual operating expenses. Total expenses as shown in the Statements of Operations does not include acquired fund fees and expenses.
For the iShares USD Bond Factor ETF, BFA has contractually agreed to waive a portion of its investment advisory fee for the Fund through June 30, 2026 in an amount equal to the acquired fund fees and expenses, if any, attributable to investments by the Fund in other registered investment companies advised by BFA or its affiliates.
This amount is included in investment advisory fees waived in the Statements of Operations. For the year ended February 28, 2023, the amounts waived in investment advisory fees pursuant to this arrangement were as follows:
|
iShares ETF
|
Amounts Waived
|
|||
|
USD Bond Factor |
$ | 2,797 | ||
Distributor: BlackRock Investments, LLC, an affiliate of BFA, is the distributor for each Fund. Pursuant to the distribution agreement, BFA is responsible for any fees or expenses for distribution services provided to the Funds.
Index Provider: BlackRock Index Services, LLC, an affiliate of BFA, creates, sponsors and publishes the underlying index for each Fund. Each Fund uses its underlying index at no charge pursuant to a license agreement between BlackRock Index Services, LLC (or one or more of its affiliates) and the Trust, on behalf of the Funds.
Securities Lending: The U.S. Securities and Exchange Commission (the “SEC”) has issued an exemptive order which permits BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of BFA, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. Each Fund is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by BFA, or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees each Fund bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund’s weekly liquid assets fall below certain thresholds.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each Fund retains a portion of securities lending income and remits the remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, each Fund retains 82% of securities lending income (which excludes collateral investment fees), and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
In addition, commencing the business day following the date that the aggregate securities lending income plus the collateral investment fees generated across all 1940 Act iShares exchange-traded funds (the “iShares ETF Complex”) in that calendar year exceeds a specified threshold, each Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year 85% of securities lending income (which excludes collateral investment fees) and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
| 46 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (continued)
The share of securities lending income earned by each Fund is shown as securities lending income – affiliated – net in its Statements of Operations. For the year ended February 28, 2023, the Funds paid BTC the following amounts for securities lending agent services:
|
iShares ETF
|
Amounts
|
|||
|
High Yield Bond Factor |
$ | 46,114 | ||
|
Investment Grade Bond Factor |
6,051 | |||
|
USD Bond Factor |
213 | |||
Officers and Trustees: Certain officers and/or trustees of the Trust are officers and/or trustees of BlackRock or its affiliates.
Other Transactions: Cross trading is the buying or selling of portfolio securities between funds to which BFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter for compliance with the requirements and restrictions set forth by Rule 17a-7.
For the year ended February 28, 2023, transactions executed by the Funds pursuant to Rule 17a-7 under the 1940 Act were as follows:
|
iShares ETF
|
Purchases
|
Sales
|
Net Realized
|
|||||||||
|
High Yield Bond Factor |
$ | 363,020 | $ | 2,973,596 | $ | (250,092 | ) | |||||
Each Fund may invest its positive cash balances in certain money market funds managed by BFA or an affiliate. The income earned on these temporary cash investments is shown as dividends – affiliated in the Statements of Operations.
A fund, in order to improve its portfolio liquidity and its ability to track its underlying index, may invest in shares of other iShares funds that invest in securities in the fund’s underlying index.
| 7. |
PURCHASES AND SALES |
For the year ended February 28, 2023, purchases and sales of investments, including mortgage dollar rolls and excluding short-term securities and in-kind transactions, were as follows:
|
|
||||||||||||||||
| U.S. Government Securities | Other Securities | |||||||||||||||
|
|
|
|
|
|||||||||||||
| iShares ETF | Purchases | Sales | Purchases | Sales | ||||||||||||
|
|
||||||||||||||||
|
High Yield Bond Factor |
$ | — | $ | — | $ | 74,213,350 | $ | 74,141,923 | ||||||||
|
Investment Grade Bond Factor |
— | — | 152,493,939 | 149,355,165 | ||||||||||||
|
USD Bond Factor |
62,019,114 | 62,891,282 | 21,602,728 | 21,913,126 | ||||||||||||
For the year ended February 28, 2023, in-kind transactions were as follows:
| iShares ETF | In-kind Purchases |
In-kind Sales | ||||||
|
High Yield Bond Factor |
$ | 30,168,855 | $ | 53,992,609 | ||||
|
Investment Grade Bond Factor |
94,295,995 | — | ||||||
|
USD Bond Factor |
— | 2,822,126 | ||||||
| 8. |
INCOME TAX INFORMATION |
Each Fund is treated as an entity separate from the Trust’s other funds for federal income tax purposes. It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Management has analyzed tax laws and regulations and their application to the Funds as of February 28, 2023, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.
|
N O T E S T O F I N A N C I A L S T A T E M E N T S |
47 |
Notes to Financial Statements (continued)
U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. As of February 28, 2023, permanent differences attributable to realized gains (losses) from in-kind redemptions were reclassified to the following accounts:
| iShares ETF | Paid-in Capital | Accumulated Earnings (Loss) |
||||||
|
High Yield Bond Factor |
$ | (2,403,493 | ) | $ | 2,403,493 | |||
|
USD Bond Factor |
(177,460 | ) | 177,460 | |||||
The tax character of distributions paid was as follows:
|
|
||||||||
|
iShares ETF |
|
Year Ended 02/28/23 |
|
|
Year Ended 02/28/22 |
| ||
|
|
||||||||
|
High Yield Bond Factor |
||||||||
|
Ordinary income |
$ | 7,711,884 | $ | 6,648,731 | ||||
|
|
|
|
|
|||||
|
Investment Grade Bond Factor |
||||||||
|
Ordinary income |
$ | 6,024,813 | $ | 4,221,486 | ||||
|
Long-term capital gains |
39,364 | 1,945,724 | ||||||
|
|
|
|
|
|||||
| $ | 6,064,177 | $ | 6,167,210 | |||||
|
|
|
|
|
|||||
|
|
||||||||
| iShares ETF | Year Ended 02/28/23 |
Period Ended 02/28/22 |
||||||
|
|
||||||||
|
USD Bond Factor |
||||||||
|
Ordinary income |
$ | 482,791 | $ | 87,083 | ||||
|
|
|
|
|
|||||
As of February 28, 2023, the tax components of accumulated net earnings (losses) were as follows:
| iShares ETF | |
Undistributed Ordinary Income |
|
|
Non-expiring Capital Loss Carryforwards |
(a) |
|
Net
Unrealized Gains (Losses) |
(b) |
Total | ||||||
|
High Yield Bond Factor |
$ | 779,918 | $ | (11,986,708 | ) | $ | (8,962,060 | ) | $ | (20,168,850 | ) | |||||
|
Investment Grade Bond Factor |
873,342 | (12,519,533 | ) | (15,903,609 | ) | (27,549,800 | ) | |||||||||
|
USD Bond Factor |
44,994 | (1,966,331 | ) | (1,113,969 | ) | (3,035,306 | ) |
| (a) |
Amounts available to offset future realized capital gains. |
| (b) |
The difference between book-basis and tax-basis unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales, amortization methods for premiums and discounts on fixed income securities and TBA transactions. |
As of February 28, 2023, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
| iShares ETF | Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
|
High Yield Bond Factor |
$ | 163,887,980 | $ | 1,479,773 | $ | (10,441,855 | ) | $ | (8,962,082 | ) | ||||||
|
Investment Grade Bond Factor |
262,005,170 | 741,956 | (16,645,565 | ) | (15,903,609 | ) | ||||||||||
|
USD Bond Factor |
16,271,427 | 12,307 | (1,135,987 | ) | (1,123,680 | ) | ||||||||||
| 9. |
PRINCIPAL RISKS |
In the normal course of business, each Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including, among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate or price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which the Fund is subject.
BFA uses a “passive” or index approach to try to achieve each Fund’s investment objective following the securities included in its underlying index during upturns as well as downturns. BFA does not take steps to reduce market exposure or to lessen the effects of a declining market. Divergence from the underlying index and the composition of the portfolio is monitored by BFA.
| 48 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (continued)
The Funds may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.
Market Risk: Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
Infectious Illness Risk: An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that BFA believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.
The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low interest rates. The Federal Reserve has recently begun to raise the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds’ performance.
The Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedule of Investments.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
LIBOR Transition Risk: The Funds may be exposed to financial instruments that are tied to the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, announced that a majority of USD LIBOR settings will no longer be published after June 30, 2023. All other LIBOR settings and certain other interbank offered rates ceased to be published after December 31, 2021. The Secured Overnight Financing Rate (“SOFR”) has been used increasingly on a voluntary basis in new instruments and transactions. The Federal Reserve Board adopted regulations that provide a fallback mechanism by identifying benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
|
N O T E S T O F I N A N C I A L S T A T E M E N T S |
49 |
Notes to Financial Statements (continued)
Minimum Shareholder Risk: USD Bond Factor may face the risk of being delisted if the Fund does not meet certain conditions of the listing exchange, such as minimum shareholder requirements. If the Fund were required to delist, the Fund’s value may rapidly decline and performance may be negatively impacted. Any resulting liquidation of the Fund could result in increased transaction costs and negative tax consequences for its shareholders.
| 10. |
CAPITAL SHARE TRANSACTIONS |
Capital shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”) at NAV. Except when aggregated in Creation Units, shares of each Fund are not redeemable.
Transactions in capital shares were as follows:
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Year Ended 02/28/23 |
Year Ended 02/28/22 |
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| iShares ETF | Shares | Amount | Shares | Amount | ||||||||||||
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High Yield Bond Factor |
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Shares sold |
700,000 | $ | 31,145,415 | 2,100,000 | $ | 108,042,192 | ||||||||||
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Shares redeemed |
(1,200,000 | ) | (55,749,700 | ) | (100,000 | ) | (4,989,615 | ) | ||||||||
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| (500,000 | ) | $ | (24,604,285 | ) | 2,000,000 | $ | 103,052,577 | |||||||||
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Investment Grade Bond Factor |
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Shares sold |
2,150,000 | $ | 95,924,836 | 800,000 | $ | 42,704,808 | ||||||||||
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Shares redeemed |
— | — | (500,000 | ) | (26,569,375 | ) | ||||||||||
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| 2,150,000 | $ | 95,924,836 | 300,000 | $ | 16,135,433 | |||||||||||
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| Year Ended 02/28/23 |
Period Ended 02/28/22 |
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| iShares ETF | Shares | Amount | Shares | Amount | ||||||||||||
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USD Bond Factor |
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Shares sold |
— | $ | — | 200,000 | $ | 20,012,366 | ||||||||||
|
Shares redeemed |
(50,000 | ) | (4,233,961 | ) | — | — | ||||||||||
| (50,000 | ) | $ | (4,233,961 | ) | 200,000 | $ | 20,012,366 | |||||||||
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The consideration for the purchase of Creation Units of a fund in the Trust generally consists of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Certain funds in the Trust may be offered in Creation Units solely or partially for cash in U.S. dollars. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to State Street Bank and Trust Company, the Trust’s administrator, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. Investors transacting in Creation Units for cash may also pay an additional variable charge to compensate the relevant fund for certain transaction costs (i.e., stamp taxes, taxes on currency or other financial transactions, and brokerage costs) and market impact expenses relating to investing in portfolio securities. Such variable charges, if any, are included in shares sold in the table above.
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable in the Statements of Assets and Liabilities.
| 11. |
SUBSEQUENT EVENTS |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
| 50 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of
iShares Trust and Shareholders of each of the three funds listed in the table below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds listed in the table below (three of the funds constituting iShares Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2023, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2023, the results of each of their operations and the changes in each of their net assets for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
|
iShares High Yield Bond Factor ETF(1) iShares Investment Grade Bond Factor ETF(1) iShares USD Bond Factor ETF(2)
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||
(1) Statements of operations for the year ended February 28, 2023 and statements of changes in net assets for each of the two years in the period ended February 28, 2023.
(2) Statement of operations for the year ended February 28, 2023, and statements of changes in net assets for the year ended February 28, 2023 and the period October 12, 2021 (commencement of operations) to February 28, 2022.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
April 20, 2023
We have served as the auditor of one or more BlackRock investment companies since 2000.
|
R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M |
51 |
Important Tax Information (unaudited)
The Fund hereby designate the following amounts, or maximum amounts allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate as noted below, for the fiscal year ended February 28, 2023:
| iShares ETF | 20% Rate Long-Term Capital Gain Dividends |
|||
|
Investment Grade Bond Factor |
$ | 39,364 | ||
The Fund hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended February 28, 2023:
| iShares ETF | Federal Obligation Interest |
|||
|
High Yield Bond Factor |
$ | 3,899 | ||
|
Investment Grade Bond Factor |
4,842 | |||
|
USD Bond Factor |
78,747 | |||
The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.
The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended February 28, 2023:
| iShares ETF | Interest Dividends | |||
|
High Yield Bond Factor |
$ | 7,559,995 | ||
|
Investment Grade Bond Factor |
6,090,452 | |||
|
USD Bond Factor |
498,249 | |||
The Funds hereby designate the following amount(s), or maximum amount(s) allowable by law, as interest-related dividends and qualified short-term capital gains eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended February 28, 2023:
| iShares ETF | Interest-Related Dividends |
|||
|
High Yield Bond Factor |
$ | 5,171,765 | ||
|
Investment Grade Bond Factor |
5,323,803 | |||
|
USD Bond Factor |
457,941 | |||
| 52 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statement Regarding Liquidity Risk Management Program (unaudited)
In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), iShares Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) for iShares High Yield Bond Factor ETF, iShares Investment Grade Bond Factor ETF and iShares USD Bond Factor ETF (the “Funds” or “ETFs”), each a series of the Trust, which is reasonably designed to assess and manage each Fund’s liquidity risk.
The Board of Trustees (the “Board”) of the Trust, on behalf of the Funds, met on December 9, 2022 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Fund Advisors (“BlackRock”), the investment adviser to the Funds, as the program administrator for each Fund’s Program. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from October 1, 2021 through September 30, 2022 (the “Program Reporting Period”).
The Report described the Program’s liquidity classification methodology for categorizing each Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including extended market holidays, the imposition of capital controls in certain non-U.S. countries, Russian sanctions and the closure of the Russian securities market.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund’s liquidity risk, as follows:
| a) |
The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure, with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Derivative exposure was also considered in the calculation of a fund’s liquidity bucketing. Finally, a factor for consideration under the Liquidity Rule is a Fund’s use of borrowings for investment purposes. However, the Funds do not borrow for investment purposes. |
| b) |
Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each ETF’s reasonably anticipated trading size (“RATS”). The Committee may also take into consideration a fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund’s distribution channels, and the degree of certainty associated with a fund’s short-term and long-term cash flow projections. |
| c) |
Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered that ETFs generally do not hold more than de minimis amounts of cash. The Committee also considered that ETFs generally do not engage in borrowing. |
| d) |
The relationship between an ETF’s portfolio liquidity and the way in which, and the prices and spreads at which, ETF shares trade, including the efficiency of the arbitrage function and the level of active participation by market participants, including authorized participants. The Committee monitored the prevailing bid/ask spread and the ETF price premium (or discount) to NAV for all ETFs. However, there were no ETFs with persistent deviations of fund premium/discount or bid/ask spreads from long-term averages over the Program Reporting Period. |
| e) |
The effect of the composition of baskets on the overall liquidity of an ETF’s portfolio. In reviewing the linkage between the composition of custom baskets accepted by an ETF and any significant change in the liquidity profile of such ETF, the Committee reviewed changes in the proportion of each ETF’s portfolio comprised of less liquid and illiquid holdings to determine if applicable thresholds were met requiring enhanced review. |
There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program’s classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
|
S T A T E M E N T R E G A R D I N G L I Q U I D I T Y R I S K M A N A G E M E N T P R O G R A M |
53 |
Supplemental Information (unaudited)
Section 19(a) Notices
The amounts and sources of distributions reported are estimates and are being provided pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund’s investment experience during the year and may be subject to changes based on tax regulations. Shareholders will receive a Form 1099-DIV each calendar year that will inform them how to report these distributions for federal income tax purposes.
February 28, 2023
|
Total Cumulative Distributions |
% Breakdown of the Total Cumulative Distributions for the Fiscal Year |
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| iShares ETF | Net Investment Income |
Net Realized Capital Gains |
Return of Capital |
Total Per Share |
Net Investment Income |
Net Realized Capital Gains |
Return of Capital |
Total Per Share |
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|
High Yield Bond Factor |
$ | 2.785441 | $ | — | $ | — | $ | 2.785441 | 100 | % | — | % | — | % | 100 | % | ||||||||||||||||||||
|
Investment Grade Bond Factor |
1.587567 | 0.009155 | — | 1.596722 | 99 | 1 | — | 100 | ||||||||||||||||||||||||||||
|
USD Bond Factor |
2.479587 | — | — | 2.479587 | 100 | — | — | 100 | ||||||||||||||||||||||||||||
Premium/Discount Information
Information on the Fund’s net asset value, market price, premiums and discounts, and bid-ask spreads can be found at iShares.com.
| 54 |
2 0 2 3 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Trustee and Officer Information (unaudited)
The Board of Trustees has responsibility for the overall management and operations of the Funds, including general supervision of the duties performed by BFA and other service providers. Each Trustee serves until he or she resigns, is removed, dies, retires or becomes incapacitated. Each officer shall hold office until his or her successor is elected and qualifies or until his or her death, resignation or removal. Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust are referred to as independent trustees (“Independent Trustees”).
The registered investment companies advised by BFA or its affiliates (the “BlackRock-advised Funds”) are organized into one complex of open-end equity, multi-asset, index and money market funds and ETFs (the “BlackRock Multi-Asset Complex”), one complex of closed-end funds and open-end non-index fixed-income funds (including ETFs) (the “BlackRock Fixed-Income Complex”) and one complex of ETFs (“Exchange-Traded Fund Complex”) (each, a “BlackRock Fund Complex”). Each Fundis included in the Exchange-Traded Fund Complex. Each Trustee also serves as a Director of iShares, Inc. and a Trustee of iShares U.S. ETF Trust and, as a result, oversees all of the funds within the Exchange-Traded Fund Complex, which consists of 377 funds as of February 28, 2023. With the exception of Robert S. Kapito, Salim Ramji and Charles Park, the address of each Trustee and officer is c/o BlackRock, Inc., 400 Howard Street, San Francisco, CA 94105. The address of Mr. Kapito, Mr. Ramji and Mr. Park is c/o BlackRock, Inc., 50 Hudson Yards, New York, NY 10001. The Board has designated John E. Kerrigan as its Independent Board Chair. Additional information about the Funds’ Trustees and officers may be found in the Funds’ combined Statement of Additional Information, which is available without charge, upon request, by calling toll-free 1-800-iShares (1-800-474-2737).
| Interested Trustees | ||||||
| Name (Age) | Position(s) |
Principal Occupation(s) During Past 5 Years |
Other Directorships Held by Trustee | |||
| Robert S. Kapito(a) (66) | Trustee (since 2009). | President, BlackRock, Inc. (since 2006); Vice Chairman of BlackRock, Inc. and Head of BlackRock’s Portfolio Management Group (since its formation in 1998) and BlackRock, Inc.’s predecessor entities (since 1988); Trustee, University of Pennsylvania (since 2009); President of Board of Directors, Hope & Heroes Children’s Cancer Fund (since 2002). | Director of BlackRock, Inc. (since 2006); Director of iShares, Inc. (since 2009); Trustee of iShares U.S. ETF Trust (since 2011). | |||
| Salim Ramji(b) (52) | Trustee (since 2019). | Senior Managing Director, BlackRock, Inc. (since 2014); Global Head of BlackRock’s ETF and Index Investments Business (since 2019); Head of BlackRock’s U.S. Wealth Advisory Business (2015-2019); Global Head of Corporate Strategy, BlackRock, Inc. (2014-2015); Senior Partner, McKinsey & Company (2010-2014). | Director of iShares, Inc. (since 2019); Trustee of iShares U.S. ETF Trust (since 2019). | |||
| (a) |
Robert S. Kapito is deemed to be an “interested person” (as defined in the 1940 Act) of the Trust due to his affiliations with BlackRock, Inc. and its affiliates. |
| (b) |
Salim Ramji is deemed to be an “interested person” (as defined in the 1940 Act) of the Trust due to his affiliations with BlackRock, Inc. and its affiliates. |
| Independent Trustees | ||||||
| Name (Age) | Position(s) |
Principal Occupation(s) During Past 5 Years |
Other Directorships Held by Trustee | |||
| John E. Kerrigan (67) | Trustee (since 2005); Independent Board Chair (since 2022). |
Chief Investment Officer, Santa Clara University (since 2002). |
Director of iShares, Inc. (since 2005); Trustee of iShares U.S. ETF Trust (since 2011); Independent Board Chair of iShares, Inc. and iShares U.S. ETF Trust (since 2022). | |||
| Jane D. Carlin (67) | Trustee (since 2015); Risk Committee Chair (since 2016). | Consultant (since 2012); Member of the Audit Committee (2012-2018), Chair of the Nominating and Governance Committee (2017-2018) and Director of PHH Corporation (mortgage solutions) (2012-2018); Managing Director and Global Head of Financial Holding Company Governance & Assurance and the Global Head of Operational Risk Management of Morgan Stanley (2006-2012). | Director of iShares, Inc. (since 2015); Trustee of iShares U.S. ETF Trust (since 2015); Member of the Audit Committee (since 2016), Chair of the Audit Committee (since 2020) and Director of The Hanover Insurance Group, Inc. (since 2016). | |||
| Richard L. Fagnani (68) | Trustee (since 2017); Audit Committee Chair (since 2019). |
Partner, KPMG LLP (2002-2016); Director of One Generation Away (since 2021). |
Director of iShares, Inc. (since 2017); Trustee of iShares U.S. ETF Trust (since 2017). | |||
|
T R U S T E E A N D O F F I C E R I N F O R M A T I O N |
55 |
Trustee and Officer Information (unaudited) (continued)
| Independent Trustees (continued) | ||||||
| Name (Age) | Position(s) |
Principal Occupation(s) During Past 5 Years |
Other Directorships Held by Trustee | |||
| Cecilia H. Herbert (73) | Trustee (since 2005); Nominating and Governance and Equity Plus Committee Chairs (since 2022). | Chair of the Finance Committee (since 2019) and Trustee and Member of the Finance, Audit and Quality Committees of Stanford Health Care (since 2016); Trustee of WNET, New York’s public media company (since 2011) and Member of the Audit Committee (since 2018), Investment Committee (since 2011) and Personnel Committee (since 2022); Chair (1994-2005) and Member (1992-2021) of the Investment Committee, Archdiocese of San Francisco; Trustee of Forward Funds (14 portfolios) (2009-2018); Trustee of Salient MF Trust (4 portfolios) (2015-2018); Director (1998-2013) and President (2007-2011) of the Board of Directors, Catholic Charities CYO; Trustee (2002-2011) and Chair of the Finance and Investment Committee (2006-2010) of the Thacher School; Director of the Senior Center of Jackson Hole (since 2020); Director of the Jackson Hole Center for the Arts (since 2021); Member of the Wyoming State Investment Funds Committee (since 2022). | Director of iShares, Inc. (since 2005); Trustee of iShares U.S. ETF Trust (since 2011). | |||
| Drew E. Lawton (63) | Trustee (since 2017); 15(c) Committee Chair (since 2017). | Senior Managing Director of New York Life Insurance Company (2010-2015). | Director of iShares, Inc. (since 2017); Trustee of iShares U.S. ETF Trust (since 2017); Director of Jackson Financial Inc. (since 2021). | |||
| John E. Martinez (61) | Trustee (since 2003); Securities Lending Committee Chair (since 2019). | Director of Real Estate Equity Exchange, Inc. (since 2005); Director of Cloudera Foundation (2017-2020); and Director of Reading Partners (2012-2016). | Director of iShares, Inc. (since 2003); Trustee of iShares U.S. ETF Trust (since 2011). | |||
| Madhav V. Rajan (58) | Trustee (since 2011); Fixed-Income Plus Committee Chair (since 2019). | Dean, and George Pratt Shultz Professor of Accounting, University of Chicago Booth School of Business (since 2017); Advisory Board Member (since 2016) and Director (since 2020) of C.M. Capital Corporation; Chair of the Board for the Center for Research in Security Prices, LLC (since 2020); Robert K. Jaedicke Professor of Accounting, Stanford University Graduate School of Business (2001-2017); Professor of Law (by courtesy), Stanford Law School (2005-2017); Senior Associate Dean for Academic Affairs and Head of MBA Program, Stanford University Graduate School of Business (2010-2016). | Director of iShares, Inc. (since 2011); Trustee of iShares U.S. ETF Trust (since 2011). | |||
| Officers | ||||
| Name (Age) | Position(s) |
Principal Occupation(s) During Past 5 Years | ||
| Armando Senra (51) | President (since 2019). | Managing Director, BlackRock, Inc. (since 2007); Head of U.S., Canada and Latam iShares, BlackRock, Inc. (since 2019); Head of Latin America Region, BlackRock, Inc. (2006-2019); Managing Director, Bank of America Merrill Lynch (1994-2006). | ||
| Trent Walker (48) | Treasurer and Chief Financial Officer (since 2020). | Managing Director, BlackRock, Inc. (since September 2019); Chief Financial Officer of iShares Delaware Trust Sponsor LLC, BlackRock Funds, BlackRock Funds II, BlackRock Funds IV, BlackRock Funds V and BlackRock Funds VI (since 2021); Executive Vice President of PIMCO (2016-2019); Senior Vice President of PIMCO (2008-2015); Treasurer (2013-2019) and Assistant Treasurer (2007-2017) of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds. | ||
| Charles Park (55) | Chief Compliance Officer (since 2006). | Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex (since 2014); Chief Compliance Officer of BFA (since 2006). | ||
| Marisa Rolland (42) | Secretary (since 2022). | Managing Director, BlackRock, Inc. (since 2023); Director, BlackRock, Inc. (2018-2022); Vice President, BlackRock, Inc. (2010-2017). | ||
| Rachel Aguirre (40) | Executive Vice President (since 2022). | Managing Director, BlackRock, Inc. (since 2018); Director, BlackRock, Inc. (2009-2018); Head of U.S. iShares Product (since 2022); Head of EII U.S. Product Engineering (since 2021); Co-Head of EII’s Americas Portfolio Engineering (2020-2021); Head of Developed Markets Portfolio Engineering (2016-2019). | ||
| Jennifer Hsui (46) | Executive Vice President (since 2022). | Managing Director, BlackRock, Inc. (since 2009); Co-Head of Index Equity (since 2022). | ||
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Trustee and Officer Information (unaudited) (continued)
| Officers (continued) | ||||
| Name (Age) | Position(s) |
Principal Occupation(s) During Past 5 Years | ||
| James Mauro (52) | Executive Vice President (since 2022). | Managing Director, BlackRock, Inc. (since 2010); Head of Fixed Income Index Investments in the Americas and Head of San Francisco Core Portfolio Management (since 2020). | ||
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Effective June 15, 2022, Marisa Rolland replaced Deepa Damre Smith as Secretary.
Effective March 30, 2023, Dominik Rohé replaced Armando Senra as President.
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T R U S T E E A N D O F F I C E R I N F O R M A T I O N |
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Electronic Delivery
Shareholders can sign up for e-mail notifications announcing that the shareholder report or prospectus has been posted on the iShares website at iShares.com. Once you have enrolled, you will no longer receive prospectuses and shareholder reports in the mail.
To enroll in electronic delivery:
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Go to icsdelivery.com. |
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If your brokerage firm is not listed, electronic delivery may not be available. Please contact your broker-dealer or financial advisor. |
Householding
Householding is an option available to certain fund investors. Householding is a method of delivery, based on the preference of the individual investor, in which a single copy of certain shareholder documents and Rule 30e-3 notices can be delivered to investors who share the same address, even if their accounts are registered under different names. Please contact your broker-dealer if you are interested in enrolling in householding and receiving a single copy of prospectuses and other shareholder documents, or if you are currently enrolled in householding and wish to change your householding status.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at iShares.com/fundreports.
Availability of Proxy Voting Policies and Proxy Voting Records
A description of the policies and procedures that the iShares Funds use to determine how to vote proxies relating to portfolio securities and information about how the iShares Funds voted proxies relating to portfolio securities during the most recent twelve-month period ending June 30 is available without charge, upon request (1) by calling toll-free 1-800-474-2737; (2) on the iShares website at iShares.com; and (3) on the SEC website at sec.gov.
A description of the Trust’s policies and procedures with respect to the disclosure of the Fund’s portfolio securities is available in the Fund Prospectus. The Fund discloses its portfolio holdings daily and provides information regarding its top holdings in Fund fact sheets at iShares.com.
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Glossary of Terms Used in this Report
| Portfolio Abbreviation | ||
| CMT | Constant Maturity Treasury | |
| LIBOR | London Interbank Offered Rate | |
| REIT | Real Estate Investment Trust | |
| SOFR | Secured Overnight Financing Rate | |
| TBA | To-Be-Announced | |
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G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T |
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Want to know more?
iShares.com | 1-800-474-2737
This report is intended for the Funds’ shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current prospectus.
Investing involves risk, including possible loss of principal.
The iShares Funds are distributed by BlackRock Investments, LLC (together with its affiliates, “BlackRock”).
The iShares Funds are not sponsored, endorsed, issued, sold or promoted by BlackRock Index Services LLC, nor does this company make any representation regarding the advisability of investing in the iShares Funds. BlackRock is affiliated with the company listed above.
©2023 BlackRock, Inc. All rights reserved. iSHARES and BLACKROCK are registered trademarks of BlackRock, Inc. or its subsidiaries. All other marks are the property of their respective owners.
iS-AR-208-0223
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